nvcsrs
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-21579
Nuveen Floating Rate Income Opportunity Fund
 
(Exact name of registrant as specified in charter)
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Address of principal executive offices) (Zip code)
Kevin J. McCarthy
Nuveen Investments
333 West Wacker Drive
Chicago, IL 60606
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: (312) 917-7700
Date of fiscal year end: July 31
Date of reporting period: January 31, 2010
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. SS. 3507.
 
 

 


 

 
ITEM 1. REPORTS TO SHAREHOLDERS
(NUVEEN INVESTMENTS LOGO)
 
 
Closed-End Funds
 
     
 
Nuveen Investments
Closed-End Funds
High current income from portfolios of senior corporate loans.
   
     
Semi-Annual Report
January 31, 2010
   
 
 

             
 
 
   
Nuveen Senior
Income Fund
NSL
  Nuveen Floating
Rate Income Fund
JFR
  Nuveen Floating Rate Income Opportunity Fund
JRO
   

(JANUARY 10)


 

 


 

 
Chairman’s
Letter to Shareholders

 
(ROBERT P. BREMNER PHOTO)
 
Dear Shareholder,
 
The global economic environment in which your Fund operates reflects continuing but uneven economic recovery. The U.S. and other major industrial countries are experiencing steady but comparatively low levels of economic growth, while emerging market countries are seeing a resumption of relatively strong economic expansion. The largest source of economic uncertainty is the potential impact of steps being considered by many governments to counteract the extraordinary governmental spending and credit expansion carried out to deal with the financial and economic crisis of 2008. Consequently, the implications for future tax rates, government spending, interest rates and the pace of economic recovery in the U.S. and other leading economies are extremely difficult to predict at the present time. The long term health of the global economy depends on restoring some measure of fiscal discipline around the world, but since all of the corrective steps require economic pain, it is not surprising that governments are reluctant to undertake them.
 
In the near term, governments remain committed to furthering economic recovery and realizing a meaningful reduction in their national unemployment rates. Such an environment should produce continued economic growth and, consequently, attractive investment opportunities. Over the longer term, the larger uncertainty mentioned earlier carries the risk of unexpected potholes in the road to sustained recovery. For this reason, Nuveen’s investment management teams are working hard to balance return and risk by building well-diversified portfolios, among other strategies. I encourage you to read the following commentary on the management of your Fund. As always, I also encourage you to contact your financial consultant if you have any questions about your Nuveen Fund investment.
 
On behalf of the other members of your Fund’s Board, we look forward to continuing to earn your trust in the months and years ahead.
 
Sincerely,
-s- Robert P. Bremner
Robert P. Bremner
Chairman of the Board and Lead Independent Director
March 25, 2010

     
     
Nuveen Investments
  3
     


 

 
Portfolio Manager’s Comments

 
 
Nuveen Senior Income Fund (NSL)
 
Nuveen Floating Rate Income Fund (JFR)
 
Nuveen Floating Rate Income Opportunity Fund (JRO)
 
The Funds’ investment portfolios have been managed by Gunther Stein of Symphony Asset Management, LLC, an affiliate of Nuveen Investments, since 2001. Gunther, who is Symphony’s chief investment officer, has more than 20 years of investment management experience, much of it in evaluating and purchasing senior corporate loans and other high-yield debt.
 
Here Gunther talks about his management strategies and the performance of the Funds for the six-month period ended January 31, 2010.
 
What key strategies were used to manage the Funds during the six-month period ended January 31, 2010?
 
 
Certain statements in this report are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward-looking statements and other views expressed herein are those of the portfolio manager as of the date of this report. Actual future results or occurrences may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Funds disclaim any obligation to update publicly or revise any forward-looking statements or views expressed herein.
 
Over this period, the Fund continued to invest at least 80% of its total assets in adjustable rate senior secured loans. Other investment included U.S. dollar denominated senior loans of non-U.S. borrowers, senior loans that were not secured, other debt securities, and equity securities and warrants acquired in connection with the Funds’ investments in senior loans.
 
Conditions remained firm in the senior loan market throughout the six-month period, as the market continued its record-breaking year in terms of positive performance. Overall, the loan market posted gains in each month of the period.
 
The positive performance since the market correction has been driven by a combination of better-than-expected corporate performance, limited new supply and healthy demand. It is important to note that while the fundamentals of many companies have been weakening, they often have been better than the analysts’ consensus. Default projections, which had been as high as 15-20% for senior loans and high yield debt, generally have come back down to well under 10%.
 
The senior loan market saw approximately $55 billion of new issuance in 2009, most of which came in the second half of the year. Loan paydowns and inflows into the asset class more than absorbed this new supply, leaving secondary market levels generally higher. This was a common theme throughout the period, and a stark contrast to the market environment seen in 2008 when new-issue loan supply was well over $100 billion and demand was nonexistent as the market deleveraged.
 
A common trend throughout the period was the refinancing of senior debt, much of which is shorter-maturity paper, using high yield bond issuance. In many cases, firms chose to “term out” their liabilities while locking in their funding cost using fixed-rate debt. This has

     
     
4
  Nuveen Investments
     


 

generally been a positive for the senior loan market, as refinancings have taken senior debt out at par while the average secondary market issue trades at a discount to par.
 
We feel that technical factors will keep the market firm in the short term, as new issues should remain limited and demand remains firm. This demand is coming from both investors looking to take on credit risk, as well as investors who want to swap into floating rate income given the steepness in the yield curve.
 
In terms of fundamentals, we remain cautiously optimistic in the near term. However, in the next two to three years we expect there may be a large spike in the outstanding maturities in the loan market. According to Credit Suisse, this may total roughly $600 billion between 2011 and 2015. While we believe that this market will be navigable for managers that understand the companies they invest in, it will be more challenging for the market overall and the more index-like managers. Also worth noting is that many of these maturities will be removed from the market earlier than expected via paydowns, refinancings, and other means. These all represent powerful catalysts for active managers who can make opportunistic investments in the asset class.
 
How did the Funds perform over this six-month period?
 
The performance of the Funds, as well as the performance of certain market indexes, is presented in the accompanying table.
 
 
   Past performance does not guarantee future results.  Current performance may be higher or lower than the data shown.
 
   Returns do not reflect the deduction of taxes that shareholders may have to pay on Fund distributions or upon the sale of Fund shares. For additional information, see the individual Performance Overview for your Fund in this report.
 
The CSFB Leveraged Loan Index is a representative, unmanaged index of tradeable, senior, U.S. dollar-denominated leveraged loans. Index returns do not include the effects of any sales charges or management fees. It is not possible to invest directly in an index.
 
The Barclays Capital U.S. Aggregate Bond Index is an unmanaged index that includes all investment-grade, publicly issued, fixed-rate, U.S. dollar-denominated, nonconvertible debt issues and commercial mortgage backed securities with maturities of at least one year and outstanding par values of $150 million or more. Index returns do not include the effects of any sales charges or management fees. It is not possible to invest directly in an index.
 
Total Returns on Common Share Net Asset Value
For periods ended 1/31/10
 
                 
    Cumulative        Annualized
    6-Month   1-Year   5-Year   10-Year
NSL
  22.68%   97.45%   3.50%   5.04%
JFR
  19.24%   82.15%   3.17%   N/A
JRO
  21.86%   95.91%   3.77%   N/A
CSFB Leveraged Loan Index1
  5.27%   39.44%   3.85%   4.38%
Barclays Capital U.S. Aggregate Bond Index2
  5.54%   8.51%   5.16%   6.53%
                 
 
For the six-months ended January 31, 2010, all three Funds outperformed the CSFB Leveraged Loan Index and the Barclays Capital U.S. Aggregate Bond Index. During the period, higher risk assets generally outperformed higher quality assets. The risk-driven rally was most evident in some of the low dollar-priced names we hold in the Funds, such as Tribune Company and Univision. Both of these issuers, which are heavily involved in the media business and had recent LBO deals, came under pressure in 2008. However, we believed that both businesses had sufficient asset quality and some level of downside protection in terms of recovery value. Looking at return potential, we thought these distressed assets provided a unique total return opportunity due to their price appreciation potential. Historically, senior loan asset class returns generally have been driven by coupons.
 
Given the broad rally seen during the period, very few issues had negative performance. Howerver, there was some relative underperformance in higher quality names. Many of these assets were new-issue loans which provide healthy risk-adjusted income, but lacked the total return potential of lower priced and stressed/distressed assets. We did think, however, that the income generated by these new-issue loans, such as Reynolds and

     
     
Nuveen Investments
  5
     


 

Warner Chilcott, represented a solid value for the Funds in the current environment. Many of these issues have very tight creditor agreements and provide LIBOR floors which help support a higher coupon rate.
 
IMPACT OF THE FUNDS’ LEVERAGE STRATEGIES ON PERFORMANCE
 
One important factor impacting the returns of these Funds relative to the comparative indexes was the Funds’ use of financial leverage. The Funds use leverage because their managers believe that, over time, leveraging provides opportunities for additional income and total returns for common shareholders. However, use of leverage also can expose common shareholders to additional volatility. For example, as the prices of securities held by a Fund decline, the negative impact of these valuation changes on common share net asset value and common shareholder total return is magnified by the use of leverage. Conversely, leverage may enhance common share returns during periods when prices generally are rising.
 
Leverage made a significant positive contribution to the returns of each Fund over this period.
 
RECENT DEVELOPMENTS REGARDING THE FUNDS’ LEVERAGED CAPITAL STRUCTURES
 
Shortly after their inceptions, all three Funds issued auction rate preferred shares (APRS) to create financial leverage. As noted in the last several shareholder reports, the ARPS issued by many closed-end funds, including these Nuveen Funds, have been hampered by a lack of liquidity since February 2008. Since that time, more ARPS have been submitted for sale in each of their regularly scheduled auctions than there have been offers to buy. This means that these auctions have “failed to clear,” and that many, or all, of the ARPS holders who wanted to sell their shares in these auctions were unable to do so. This decline in liquidity in ARPS did not lower the credit quality of these shares, and auction rate preferred shareholders unable to sell their shares received distributions at the “maximum rate” applicable to failed auctions, as calculated in accordance with the pre-established terms of the ARPS.
 
One continuing implication for common shareholders of these Funds from the auction failures is that the Funds’ cost of leverage likely has been incrementally higher at times than it otherwise might have been had the auctions continued to be successful. As a result, the Funds’ common share earnings likely have been incrementally lower at times than they otherwise might have been.
 
Beginning in the summer of 2008, the Funds announced their intention to redeem most or all of their ARPS and retain their leveraged structure primarily through the use of bank borrowings. Leveraging using bank borrowings offers common shareholders most benefits and risks as leveraging with ARPS.
 
As of January 31, 2010, these Funds had redeemed all of their outstanding ARPS. For additional information, please visit the Nuveen CEF Auction Rate Preferred Resource Center at: http://www.nuveen.com/arps.

     
     
6
  Nuveen Investments
     


 

 
Common Share Distribution
and Share Price Information

 
 
As noted earlier, these Funds use financial leverage to potentially enhance opportunities for additional income for common shareholders. The Funds’ use of this leverage strategy continued to provide incremental income, although the extent of this benefit was reduced to some degree by short-term interest rates that remained relatively high during the early part of the period. This, in turn, kept the Funds’ borrowing costs high. All three fund’s distributions increased twice over the six-month period.
 
During certain periods, each Fund may pay dividends at a rate that may be more or less than the amount of net investment income actually earned by the Fund during the period. If a Fund has cumulatively earned more than it has paid in dividends, it holds the excess in reserve as undistributed net investment income (UNII) as part of the Fund’s common share NAV. Conversely, if a Fund has cumulatively paid dividends in excess of its earnings, the excess constitutes negative UNII that is likewise reflected in the Fund’s common share NAV. As of January 31, 2010, all three Funds had positive UNII balances, based upon our best estimate, for tax purposes. For financial statement purposes, NSL had a negative UNII balance while JFR and JRO had positive UNII balances.
 
Common Share Repurchases and Share Price Information
 
As of January 31, 2010, JFR and JRO cumulatively repurchased common shares as shown in the accompanying table. Since the inception of the Funds’ repurchase program, NSL has not repurchased any of its outstanding common shares.
 
         
    Common Shares
  % of Outstanding
Fund   Repurchased   Common Shares
JFR
  147,593   0.3%
JRO
  19,400   0.1%
         
 
During the six-month reporting period, the Funds repurchased common shares at a weighted average price and a weighted average discount per common share as shown in the accompanying table.
 
             
        Weighted Average
  Weighted Average
    Common Shares
  Price Per Share
  Discount Per Share
Fund   Repurchased   Repurchased   Repurchased
             
JFR
  137,893   $9.15   12.86%
JRO
  9,700   $8.95   13.25%
             

     
     
Nuveen Investments
  7
     


 

 
As of January 31, 2010, the Fund’s common share prices were trading at a discount (-) to their common share NAVs as shown in the accompanying table.
 
         
    1/31/10
  Six-Month
    (-)Discount/
  Average
Fund   (+)Premium   (-) Discount
NSL
  +6.07%   -2.46%
JFR
  -5.11%   -10.67%
JRO
  -0.53%   -8.24%
         

     
     
8
  Nuveen Investments
     


 

       
       
NSL
Performance
OVERVIEW
    Nuveen Senior
Income Fund
      as of January 31, 2010

     
Fund Snapshot
Common Share Price   $7.16
     
Common Share Net Asset Value   $6.75
     
Premium/(Discount) to NAV   6.07%
     
Latest Dividend   $0.0400
     
Market Yield   6.70%
     
Net Assets Applicable to
Common Shares ($000)
  $201,450
     
         
Average Annual Total Return
(Inception 10/26/99)
    On Share Price   On NAV
6-Month (Cumulative)   44.17%   22.68%
         
1-Year   120.71%   97.45%
         
5-Year   2.48%   3.50%
         
10-Year   5.70%   5.04%
         
     
Industries
(as a % of total investments)
Media   11.9%
     
Health Care Providers & Services   9.5%
     
Hotels, Restaurants & Leisure   8.9%
     
Building Products   6.4%
     
Specialty Retail   4.1%
     
Software   3.4%
     
Oil, Gas & Consumable Fuels   3.3%
     
Chemicals   3.1%
     
Real Estate Management & Development   2.9%
     
Road & Rail   2.9%
     
Food & Staples Retailing   2.6%
     
IT Services   2.6%
     
Automobiles   2.4%
     
Airlines   2.2%
     
Leisure Equipment & Products   2.1%
     
Commercial Services & Supplies   1.9%
     
Auto Components   1.9%
     
Diversified Telecommunication Services   1.7%
     
Diversified Financial Services   1.7%
     
Household Products   1.6%
     
Semiconductors & Equipment   1.6%
     
Communications Equipment   1.5%
     
Paper & Forest Products   1.4%
     
Short-Term Investments   3.9%
     
Other   14.5%
     
     
Top Five Issuers
(as a % of total long-term investments)
Building Materials Corporation of America   2.9%
     
Charter Communications Operating Holdings LLC   2.8%
     
HCA, Inc.   2.5%
     
Swift Transportation Company, Inc.   2.1%
     
Community Health Systems, Inc.   2.0%
     
 
 
Portfolio Allocation (as a % of total investments)
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2009-2010 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)

     
     
Nuveen Investments
  9
     


 

       
       
JFR
Performance
OVERVIEW
    Nuveen Floating
Rate Income
Fund
      as of January 31, 2010

     
Fund Snapshot
Common Share Price   $10.76
     
Common Share Net Asset Value   $11.34
     
Premium/(Discount) to NAV   -5.11%
     
Latest Dividend   $0.0510
     
Market Yield   5.69%
     
Net Assets Applicable to
Common Shares ($000)
  $536,084
     
         
Average Annual Total Return
(Inception 3/25/04)
    On Share Price   On NAV
6-Month (Cumulative)   32.29%   19.24%
         
1-Year   70.80%   82.15%
         
5-Year   2.39%   3.17%
         
Since Inception   2.09%   3.30%
         
     
Industries
(as a % of total investments)
Media   14.3%
     
Hotels, Restaurants & Leisure   9.2%
     
Health Care Providers & Services   8.3%
     
Road & Rail   4.3%
     
Specialty Retail   4.2%
     
Diversified Telecommunication Services   4.0%
     
Building Products   4.0%
     
IT Services   3.8%
     
Chemicals   3.3%
     
Software   3.3%
     
Real Estate Management & Development   3.1%
     
Oil, Gas & Consumable Fuels   2.7%
     
Communications Equipment   2.0%
     
Auto Components   1.8%
     
Pharmaceuticals   1.7%
     
Wireless Telecommunication Services   1.7%
     
Automobiles   1.7%
     
Airlines   1.7%
     
Leisure Equipment & Products   1.6%
     
Household Products   1.6%
     
Commercial Services & Supplies   1.6%
     
Electric Utilities   1.5%
     
Investment Companies   1.6%
     
Short-Term Investments   2.8%
     
Other   14.2%
     
     
Top Five Issuers
(as a % of total long-term investments)
Swift Transportation Company, Inc.   3.3%
     
Univision Communications, Inc.   2.8%
     
Charter Communications Operating Holdings LLC   2.6%
     
HCA, Inc.   2.3%
     
First Data Corporation   2.3%
     
 
 
Portfolio Allocation (as a % of total investments)
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2009-2010 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)

     
     
10
  Nuveen Investments
     


 

       
       
JRO
Performance
OVERVIEW
    Nuveen Floating
Rate Income
Opportunity Fund
      as of January 31, 2010

     
Fund Snapshot
Common Share Price   $11.20
     
Common Share Net Asset Value   $11.26
     
Premium/(Discount) to NAV   -0.53%
     
Latest Dividend   $0.0620
     
Market Yield   6.64%
     
Net Assets Applicable to
Common Shares ($000)
  $319,906
     
         
Average Annual Total Return
(Inception 7/27/04)
    On Share Price   On NAV
6-Month (Cumulative)   38.82%   21.86%
         
1-Year   102.39%   95.91%
         
5-Year   3.49%   3.77%
         
Since Inception   3.28%   3.66%
         
     
Industries
(as a % of total investments)
Media   14.3%
     
Hotels, Restaurants & Leisure   10.6%
     
Health Care Providers & Services   7.5%
     
Road & Rail   4.5%
     
Building Products   4.1%
     
Software   4.0%
     
Specialty Retail   3.8%
     
Real Estate Management & Development   3.6%
     
Oil, Gas & Consumable Fuels   3.3%
     
IT Services   3.3%
     
Diversified Telecommunication Services   3.1%
     
Automobiles   2.6%
     
Communications Equipment   2.5%
     
Chemicals   2.5%
     
Auto Components   2.3%
     
Airlines   2.0%
     
Household Products   1.9%
     
Pharmaceuticals   1.8%
     
Wireless Telecommunication Services   1.5%
     
Leisure Equipment & Products   1.5%
     
Internet Software & Services   1.5%
     
Semiconductors & Equipment   1.5%
     
Short-Term Investments   2.0%
     
Other   14.3%
     
     
Top Five Issuers
(as a % of total long-term investments)
Swift Transportation Company, Inc.   3.3%
     
Charter Communications Operating Holdings LLC   2.6%
     
Dealer Computer Services, Inc.   2.6%
     
Univision Communications, Inc.   2.2%
     
Federal Mogul Corporation   2.2%
     
 
 
Portfolio Allocation (as a % of total investments)
 
(PORTFOLIO ALLOCATION PIE CHART)
 
2009-2010 Monthly Dividends Per Common Share
 
(MONTHLY DISTRIBUTIONS BAR CHART)
 
Share Price Performance — Weekly Closing Price
 
(SHARE PRICE CHART)

     
     
Nuveen Investments
  11
     


 

 
Shareholder Meeting Report
 
The annual meeting of shareholders was held in the offices of Nuveen Investments on November 30, 2009; at this meeting the shareholders were asked to vote on the election of Board Members.

                 
    NSL     JFR     JRO
Approval of the Board Members was reached as follows:
    Common shares     Common shares     Common shares
Robert P. Bremner
               
For
  25,796,135     40,595,116     23,997,214
Withhold
  731,462     1,243,284     819,357
                 
Total
  26,527,597     41,838,400     24,816,571
                 
Jack B. Evans
               
For
  25,822,174     40,747,016     24,014,194
Withhold
  705,423     1,091,384     802,377
                 
Total
  26,527,597     41,838,400     24,816,571
                 
William C. Hunter
               
For
  25,811,541     40,616,613     24,010,032
Withhold
  716,056     1,221,787     806,539
                 
Total
  26,527,597     41,838,400     24,816,571
                 
William J. Schneider
               
For
  25,814,200     40,613,327     24,022,465
Withhold
  713,397     1,225,073     794,106
                 
Total
  26,527,597     41,838,400     24,816,571
                 

     
     
12
  Nuveen Investments
     


 

           
           
  NSL
    Nuveen Senior Income Fund
Portfolio of Investments
          January 31, 2010 (Unaudited)

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 116.2% (85.1% of Total Investments) (4)
         
       
Aerospace & Defense – 1.3% (0.9% of Total Investments)
                                         
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
    4.000%       7/31/14       B     $ 541,915  
  561    
DAE Aviation Holdings, Inc., Term Loan B2
    4.000%       7/31/14       B       528,807  
  112    
Hawker Beechcraft, LLC, LC Facility, WI/DD
    TBD       TBD       CCC+       84,916  
  1,883    
Hawker Beechcraft, LLC, Term Loan, WI/DD
    TBD       TBD       CCC+       1,431,404  
                                         
  3,130    
Total Aerospace & Defense
                            2,587,042  
                                         
       
Airlines – 3.0% (2.2% of Total Investments)
                                         
  1,960    
Delta Air Lines, Inc., Credit Linked Deposit
    2.245%       4/30/12       Ba2       1,829,170  
  1,950    
Delta Air Lines, Inc., Term Loan
    3.501%       4/30/14       B       1,697,719  
  3,068    
United Air Lines, Inc., Term Loan B
    2.250%       2/01/14       B+       2,497,042  
                                         
  6,978    
Total Airlines
                            6,023,931  
                                         
       
Auto Components – 2.4% (1.7% of Total Investments)
                                         
  3,736    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.168%       12/29/14       Ba3       3,175,201  
  1,906    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.168%       12/28/15       Ba3       1,620,361  
                                         
  5,642    
Total Auto Components
                            4,795,562  
                                         
       
Automobiles – 1.8% (1.4% of Total Investments)
                                         
  3,966    
Ford Motor Company, Term Loan
    3.259%       12/15/13       Ba3       3,718,413  
                                         
       
Building Products – 6.9% (5.1% of Total Investments)
                                         
  821    
Atrium Companies, Inc., Term Loan
    11.750%       5/31/12       D       745,154  
  2,000    
Building Materials Corporation of America, Term Loan, Second Lien
    6.063%       9/15/14       B2       1,965,000  
  5,852    
Building Materials Corporation of America, Term Loan
    3.000%       2/22/14       BBB–       5,739,553  
  1,284    
Euramax Holdings, Inc., PIK Term Loan
    14.000%       6/29/13       B–       1,001,838  
  1,288    
Euramax Holdings, Inc., Term Loan
    10.000%       6/22/13       B–       1,004,374  
  4,500    
TFS Acquisition, Term Loan
    10.000%       8/11/13       CCC+       3,453,571  
                                         
  15,745    
Total Building Products
                            13,909,490  
                                         
       
Chemicals – 4.3% (3.1% of Total Investments)
                                         
  400    
Celanese US Holdings LLC, Credit Linked Deposit
    1.981%       4/02/14       BB+       386,500  
  547    
Hercules Offshore, Inc., Term Loan
    6.000%       7/11/13       B       523,910  
  245    
Hexion Specialty Chemicals, Inc., Term Loan C1
    2.563%       5/05/13       B1       232,893  
  53    
Hexion Specialty Chemicals, Inc., Term Loan C2
    2.563%       5/05/13       B1       50,591  
  2,903    
Hexion Specialty Chemicals, Inc., Term Loan C4
    2.563%       5/05/13       B1       2,786,400  
  708    
Huntsman International LLC, Term Loan
    1.996%       4/19/14       Ba2       678,875  
  897    
Ineos US Finance LLC, Tranche B2
    7.501%       12/16/13       B–       836,580  
  897    
Ineos US Finance LLC, Tranche C2
    10.001%       12/16/14       B–       836,601  
  12    
LyondellBasell Finance Company, Dutch Revolving Line of Credit, (5)
    3.731%       12/20/13       N/R       8,910  
  27    
LyondellBasell Finance Company, Dutch Tranche A, Term Loan, (5)
    3.731%       12/20/13       N/R       20,167  
  35    
LyondellBasell Finance Company, German Tranche B1, Euro Term Loan, (5)
    3.981%       12/22/14       N/R       25,579  
  35    
LyondellBasell Finance Company, German Tranche B2, Euro Term Loan, (5)
    3.981%       12/20/14       N/R       25,579  
  35    
LyondellBasell Finance Company, German Tranche B3, Euro Term Loan, (5)
    3.981%       12/22/14       N/R       25,579  
  45    
LyondellBasell Finance Company, Revolving Line of Credit, (5)
    3.731%       12/20/13       N/R       33,184  
  87    
LyondellBasell Finance Company, US Tranche A, Term Loan, (5)
    3.731%       12/20/13       N/R       63,224  
  151    
LyondellBasell Finance Company, US Tranche B1, Term Loan, (5)
    7.000%       12/22/14       N/R       110,112  
  151    
LyondellBasell Finance Company, US Tranche B2, Term Loan, (5)
    7.000%       12/22/14       N/R       110,112  
  151    
LyondellBasell Finance Company, US Tranche B3, Term Loan, (5)
    7.000%       12/22/14       N/R       110,112  
  1,893    
Univar, Inc., Term Loan
    3.231%       10/10/14       B+       1,793,682  
                                         
  9,272    
Total Chemicals
                            8,658,590  
                                         
       
Commercial Services & Supplies – 2.6% (1.9% of Total Investments)
                                         
  1,438    
Rental Services Corporation, Term Loan
    3.760%       11/27/13       B–       1,360,891  
  180    
ServiceMaster Company, Delayed Term Loan
    2.740%       7/24/14       B+       167,058  
  1,810    
ServiceMaster Company, Term Loan
    2.744%       7/24/14       B+       1,677,544  
  1,000    
Universal City Development Partners, Ltd., Term Loan
    6.500%       11/06/14       Ba2       1,012,500  
  735    
West Corporation, Term Loan B4
    4.112%       6/30/16       BB–       728,643  
  479    
Workflow Holdings Corporation, Term Loan
    9.500%       11/30/11       Caa1       348,275  
                                         
  5,642    
Total Commercial Services & Supplies
                            5,294,911  
                                         
       
Communications Equipment – 2.0% (1.5% of Total Investments)
                                         
  4,477    
Avaya Inc., Term Loan
    3.011%       10/26/14       B+       4,022,856  
                                         

     
     
Nuveen Investments
  13
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Containers & Packaging – 0.0% (0.0% of Total Investments)
                                         
$ 37    
Graham Packaging Company LP, Term Loan B
    2.500%       10/07/11       B+     $ 37,097  
                                         
       
Diversified Consumer Services – 0.4% (0.3% of Total Investments)
                                         
  948    
Cengage Learning Acquisitions, Inc., Term Loan
    2.750%       7/05/14       B+       844,139  
                                         
       
Diversified Financial Services – 2.4% (1.7% of Total Investments)
                                         
  1,000    
CIT Group, Inc., Tranche A1, Term Loan
    10.000%       1/18/12       N/R       1,033,542  
  2,000    
CIT Group, Inc., Tranche B1, Term Loan
    13.000%       1/18/12       N/R       2,048,126  
  1,782    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,699,858  
                                         
  4,782    
Total Diversified Financial Services
                            4,781,526  
                                         
       
Diversified Telecommunication Services – 2.4% (1.7% of Total Investments)
                                         
  325    
Intelsat, Tranche B2, Term Loan A
    2.731%       1/03/14       BB–       310,835  
  325    
Intelsat, Tranche B2, Term Loan B
    2.731%       1/03/14       BB–       310,740  
  325    
Intelsat, Tranche B2, Term Loan C
    2.731%       1/03/14       BB–       310,740  
  2,000    
Intelsat, Unsecured Term Loan
    2.733%       2/01/14       B+       1,750,000  
  2,267    
Level 3 Financing, Inc., Term Loan
    2.501%       3/13/14       B+       2,067,928  
  5,000    
WCI Capital Corporation, Term Loan B, (5), (6)
    3.500%       N/A       N/R       42,500  
                                         
  10,242    
Total Diversified Telecommunication Services
                            4,792,743  
                                         
       
Electric Utilities – 1.5% (1.1% of Total Investments)
                                         
  668    
Calpine Corporation, DIP Term Loan
    3.135%       3/29/14       B+       633,187  
  556    
Calpine Corporation, Delayed Draw, Term Loan, (7), (8)
    0.100%       3/31/14       B+       (53,241 )
  948    
TXU Corporation, Term Loan B2
    3.731%       10/10/14       B+       778,412  
  1,955    
TXU Corporation, Term Loan B3
    3.731%       10/10/14       B+       1,596,312  
                                         
  4,127    
Total Electric Utilities
                            2,954,670  
                                         
       
Electrical Equipment – 1.3% (1.0% of Total Investments)
                                         
  2,878    
Allison Transmission Holdings, Inc., Term Loan
    3.000%       8/07/14       B       2,648,341  
                                         
       
Electronic Equipment & Instruments – 0.9% (0.6% of Total Investments)
                                         
  1,930    
Sensata Technologies B.V., Term Loan
    1.999%       4/27/13       B       1,758,110  
                                         
       
Energy Equipment & Services – 0.2% (0.2% of Total Investments)
                                         
  442    
Dresser-Rand Group, Inc., Term Loan
    2.521%       5/04/14       B+       424,759  
                                         
       
Food & Staples Retailing – 2.2% (1.6% of Total Investments)
                                         
  500    
Rite Aid Corporation, Tranche 4, Term Loan
    9.500%       6/10/15       B+       524,375  
  4,480    
U.S. Foodservice, Inc., Term Loan
    2.730%       7/03/14       B2       3,967,833  
                                         
  4,980    
Total Food & Staples Retailing
                            4,492,208  
                                         
       
Food Products – 0.3% (0.2% of Total Investments)
                                         
  500    
Pinnacle Foods Finance LLC, Tranche C, Term Loan, WI/DD
    TBD       TBD       B       505,000  
                                         
       
Health Care Equipment & Supplies – 0.8% (0.6% of Total Investments)
                                         
  924    
Symbion, Inc., Term Loan A
    3.481%       8/23/13       Ba3       840,385  
  934    
Symbion, Inc., Term Loan B
    3.481%       8/25/14       Ba3       849,485  
                                         
  1,858    
Total Health Care Equipment & Supplies
                            1,689,870  
                                         
       
Health Care Providers & Services – 12.0% (8.8% of Total Investments)
                                         
  267    
Community Health Systems, Inc., Delayed Term Loan
    2.511%       7/25/14       BB       252,682  
  5,223    
Community Health Systems, Inc., Term Loan
    2.506%       7/25/14       BB       4,943,712  
  7,070    
HCA, Inc., Term Loan
    2.501%       11/18/13       BB       6,734,075  
  457    
IASIS Healthcare LLC, Delayed Term Loan
    2.231%       3/14/14       Ba2       437,266  
  124    
IASIS Healthcare LLC, Letter of Credit
    2.229%       3/14/14       Ba2       118,380  
  2,053    
IASIS Healthcare LLC, PIK Term Loan
    5.499%       6/15/14       CCC+       1,929,502  
  1,320    
IASIS Healthcare LLC, Term Loan
    2.231%       3/14/14       Ba2       1,263,493  
  3,830    
LifeCare, Term Loan B
    4.500%       8/10/12       B2       3,265,075  
  2,000    
Rehabcare Group, Inc., Term Loan B
    6.000%       11/24/15       BB       2,009,000  
  1,712    
Select Medical Corporation, Term Loan
    2.267%       2/24/12       Ba2       1,660,765  
  1,567    
Vanguard Health Holding Company II LLC, Replacement Term Loan, WI/DD
    TBD       TBD       Ba3       1,568,938  
                                         
  25,623    
Total Health Care Providers & Services
                            24,182,888  
                                         
       
Hotels, Restaurants & Leisure – 12.2% (8.9% of Total Investments)
                                         
  3,423    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       3,390,475  
  1,478    
Cedar Fair LP, Extended US Term Loan
    4.231%       8/30/14       BB–       1,476,378  
  1,923    
Cedar Fair LP, Term Loan
    2.231%       8/30/12       BB–       1,917,919  
  392    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    1.981%       11/25/13       B+       389,154  

     
     
14
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure (continued)
                                         
$ 508    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    1.981%       11/25/13       B+     $ 504,958  
  1,270    
Isle of Capri Casinos, Inc., Delayed Term Loan
    2.001%       11/25/13       B+       1,262,395  
  2,459    
Orbitz Worldwide, Inc., Term Loan
    3.067%       7/25/14       B+       2,350,414  
  151    
OSI Restaurant Partners LLC, Revolver
    0.626%       6/14/13       B+       135,934  
  1,342    
OSI Restaurant Partners LLC, Term Loan
    2.563%       6/14/14       B+       1,211,514  
  500    
Pinnacle Foods Finance LLC, Term Loan
    2.750%       4/02/14       B       474,766  
  1,000    
QCE LLC, Term Loan
    6.001%       11/05/13       N/R       597,500  
  1,000    
Reynolds Group Holdings, Inc., US Term Loan
    6.250%       11/05/15       BB–       1,014,875  
  984    
Sagittarius Restaurants LLC, Term Loan
    9.750%       3/29/13       B2       959,626  
  2,000    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       2,023,126  
  975    
Travelport LLC, Delayed Term Loan
    2.738%       8/23/13       Ba3       937,219  
  268    
Travelport LLC, Letter of Credit
    2.751%       8/23/13       Ba3       256,625  
  1,334    
Travelport LLC, Term Loan
    2.740%       8/23/13       Ba3       1,278,963  
  956    
Venetian Casino Resort LLC, Delayed Term Loan
    2.010%       5/23/14       B–       844,266  
  3,950    
Venetian Casino Resort LLC, Term Loan
    2.010%       5/23/14       B–       3,489,392  
                                         
  25,913    
Total Hotels, Restaurants & Leisure
                            24,515,499  
                                         
       
Household Products – 2.2% (1.6% of Total Investments)
                                         
  220    
Spectrum Brands, Inc., Synthetic Letter of Credit, DD1
    1.500%       6/30/12       B–       219,782  
  4,263    
Spectrum Brands, Inc., Term Loan, DD1
    7.997%       6/30/12       B–       4,262,717  
                                         
  4,483    
Total Household Products
                            4,482,499  
                                         
       
Insurance – 1.0% (0.8% of Total Investments)
                                         
  2,165    
Conseco, Inc., Term Loan
    7.500%       10/10/13       B–       2,064,899  
                                         
       
Internet Software & Services – 0.6% (0.5% of Total Investments)
                                         
  1,466    
Open Solutions, Inc., Term Loan B
    2.375%       1/23/14       BB–       1,306,038  
                                         
       
IT Services – 3.2% (2.3% of Total Investments)
                                         
  958    
First Data Corporation, Term Loan B1
    2.982%       9/24/14       B+       830,385  
  3,486    
First Data Corporation, Term Loan B2
    2.999%       9/24/14       B+       3,022,412  
  339    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
    3.990%       7/28/12       B+       318,140  
  733    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    6.481%       3/02/14       CCC+       569,250  
  1,267    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
    6.481%       3/02/14       CCC+       1,045,000  
  650    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    3.990%       7/28/12       B+       609,768  
                                         
  7,433    
Total IT Services
                            6,394,955  
                                         
       
Leisure Equipment & Products – 2.9% (2.1% of Total Investments)
                                         
  3,244    
Bombardier Recreational Products, Inc., Term Loan
    3.276%       6/28/13       Caa1       2,458,994  
  1,274    
Herbst Gaming, Inc., Delayed Term Loan, (5), (6)
    0.000%       12/02/11       D       700,918  
  2,642    
Herbst Gaming, Inc., Term Loan, (5), (6)
    0.000%       12/02/11       D       1,453,317  
  3,686    
Wimar OpCo LLC, Term Loan, (5), (6)
    2.250%       1/03/12       N/R       1,151,834  
                                         
  10,846    
Total Leisure Equipment & Products
                            5,765,063  
                                         
       
Machinery – 1.8% (1.3% of Total Investments)
                                         
  1,271    
Oshkosh Truck Corporation, Term Loan
    6.260%       12/06/13       BB–       1,278,670  
  547    
Rexnord Corporation, Incremental Term Loan
    2.500%       7/19/13       BB–       509,330  
  1,869    
Rexnord Corporation, Term Loan
    2.791%       7/19/13       BB–       1,768,402  
                                         
  3,687    
Total Machinery
                            3,556,402  
                                         
       
Media – 16.1% (11.8% of Total Investments)
                                         
  61    
American Media Operations, Inc., Term Loan
    10.000%       1/30/13       B–       57,282  
  1,801    
Carmike Cinemas, Inc., Term Loan, WI/DD
    TBD       TBD       B1       1,802,949  
  829    
Cequel Communications LLC, Term Loan B
    2.253%       11/05/13       BB–       791,181  
  1,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    6.750%       3/06/14       BB+       910,625  
  6,944    
Charter Communications Operating Holdings LLC, Term Loan
    2.260%       3/06/14       BB+       6,478,009  
  4,119    
Citadel Broadcasting Corporation, Term Loan, (5), (6), (11)
    1.750%       6/12/14       D       3,343,499  
  1,492    
Gray Television, Inc., Term Loan B
    3.750%       12/31/14       Caa1       1,374,860  
  3,860    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B
    18.250%       4/08/12       N/R       2,329,207  
  573    
Nielsen Finance LLC, Term Loan A
    2.231%       8/09/13       Ba3       549,167  
  1,216    
Nielsen Finance LLC, Term Loan B
    3.981%       5/02/16       Ba3       1,189,382  
  1,888    
Philadelphia Newspapers, Term Loan, (5), (6)
    5.500%       6/29/13       N/R       443,728  
  539    
Reader’s Digest Association, Inc., DIP Term Loan
    13.500%       3/01/14       B–       560,711  
  132    
Reader’s Digest Association, Inc., Euro Term Loan
    7.000%       3/03/14       N/R       79,030  
  369    
Reader’s Digest Association, Inc., Revolving Credit Loan
    4.250%       3/02/13       D       220,369  
  1,487    
Reader’s Digest Association, Inc., U.S. Term Loan
    2.000%       3/03/14       D       887,456  
  2,990    
Spanish Broadcasting System, Inc., Term Loan B
    2.010%       6/10/12       CCC+       2,506,238  
  1,157    
SuperMedia, Term Loan
    8.000%       12/31/15       B2       1,094,977  

     
     
Nuveen Investments
  15
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Media (continued)
                                         
$ 4,910    
Tribune Company, Term Loan B, (5), (6), DD1
    3.000%       6/04/14       Ca     $ 3,087,147  
  683    
Tribune Company, Term Loan X, (5), (6)
    2.750%       N/A       Ca       416,427  
  5,000    
Univision Communications, Inc., Term Loan
    2.501%       9/29/14       B2       4,367,500  
                                         
  41,050    
Total Media
                            32,489,744  
                                         
       
Metals & Mining – 1.3% (1.0% of Total Investments)
                                         
  494    
Aleris International, Inc., DIP Term Loan, (5), (7)
    6.215%       2/12/10       N/R       518,037  
  2,199    
John Maneely Company, Term Loan
    3.501%       12/08/13       B       2,111,594  
                                         
  2,693    
Total Metals & Mining
                            2,629,631  
                                         
       
Multiline Retail – 0.4% (0.3% of Total Investments)
                                         
  984    
Neiman Marcus Group, Inc., Term Loan
    2.255%       4/06/13       BB–       899,193  
                                         
       
Oil, Gas & Consumable Fuels – 3.8% (2.8% of Total Investments)
                                         
  856    
ATP Oil and Gas Corporation, Tranche B1, Term Loan
    11.250%       1/15/14       N/R       859,592  
  121    
ATP Oil and Gas Corporation, Tranche B2, Term Loan
    12.250%       1/15/11       N/R       121,358  
  1,238    
Big West Oil LLC, Delayed Term Loan, (5)
    4.500%       5/15/14       B2       1,200,401  
  984    
Big West Oil LLC, Term Loan, (5)
    4.500%       5/15/14       B2       954,864  
  295    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.104%       1/03/15       B1       264,642  
  2,187    
Calumet Lubricants Company LP, Term Loan
    4.273%       1/03/15       B1       1,964,890  
  2,478    
Venoco, Inc., Term Loan
    4.250%       5/07/14       BB–       2,292,872  
                                         
  8,159    
Total Oil, Gas & Consumable Fuels
                            7,658,619  
                                         
       
Paper & Forest Products – 1.5% (1.1% of Total Investments)
                                         
  3,910    
Wilton Products, Term Loan
    3.490%       11/16/14       B+       3,030,250  
                                         
       
Pharmaceuticals – 1.8% (1.3% of Total Investments)
                                         
  1,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan
    6.731%       5/03/13       CCC+       532,500  
  1,373    
Graceway Pharmaceuticals LLC, Term Loan
    2.981%       5/03/12       BB–       1,144,124  
  237    
Warner Chilcott Corporation, Add on Term Loan
    5.750%       4/30/15       BB+       238,243  
  678    
Warner Chilcott Corporation, Term Loan A
    5.500%       10/30/14       BB+       680,847  
  339    
Warner Chilcott Corporation, Term Loan B1
    5.750%       4/30/15       BB+       340,275  
  746    
Warner Chilcott Corporation, Term Loan B2
    5.750%       4/30/15       BB+       748,604  
                                         
  4,373    
Total Pharmaceuticals
                            3,684,593  
                                         
       
Professional Services – 0.4% (0.3% of Total Investments)
                                         
  1,000    
Vertrue Inc., Term Loan, WI/DD
    TBD       TBD       Ba3       800,000  
                                         
       
Real Estate Investment Trust – 0.5% (0.4% of Total Investments)
                                         
  1,000    
Tishman Speyer Real Estate, Liquidation Facility
    15.000%       N/A       N/R       1,002,500  
                                         
       
Real Estate Management & Development – 3.9% (2.9% of Total Investments)
                                         
  3,581    
Capital Automotive LP, Tranche C
    2.740%       12/14/12       Ba3       3,300,763  
  3,605    
LNR Property Corporation, Term Loan B
    3.480%       7/12/11       CCC       2,892,780  
  1,925    
Realogy Corporation, Delayed Term Loan
    3.250%       10/10/13       Caa1       1,718,489  
                                         
  9,111    
Total Real Estate Management & Development
                            7,912,032  
                                         
       
Road & Rail – 3.5% (2.6% of Total Investments)
                                         
  1,487    
Avis Budget Car Rental, LLC Term Loan
    4.000%       4/19/12       Ba3       1,455,807  
  5,804    
Swift Transportation Company, Inc., Term Loan
    6.250%       5/10/14       B–       5,584,454  
                                         
  7,291    
Total Road & Rail
                            7,040,261  
                                         
       
Semiconductors & Equipment – 0.7% (0.5% of Total Investments)
                                         
  1,494    
Freescale Semiconductor, Inc., Term Loan
    1.981%       12/01/13       B2       1,344,824  
                                         
       
Software – 3.3% (2.4% of Total Investments)
                                         
  4,483    
Dealer Computer Services, Inc., Term Loan
    2.251%       10/26/12       BB       4,302,355  
  2,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.501%       5/31/15       CCC       1,525,000  
  914    
IPC Systems, Inc., Term Loan
    2.493%       5/31/14       B1       801,672  
                                         
  7,397    
Total Software
                            6,629,027  
                                         
       
Specialty Retail – 5.4% (3.9% of Total Investments)
                                         
  3,123    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.510%       5/28/13       B–       2,921,738  
  2,977    
Claire’s Stores, Inc. Term Loan B
    3.001%       5/29/14       B–       2,454,865  
  2,092    
Michaels Stores, Inc., Term Loan B1
    2.562%       10/31/13       B       1,892,865  
  1,473    
Michaels Stores, Inc., Term Loan B2
    4.812%       7/31/16       B       1,407,079  
  1,042    
Micro Warehouse, Inc., Term Loan B, (5), (6), (9)
    0.000%       N/A       N/R       105,845  

     
     
16
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Specialty Retail (continued)
                                         
$ 2,000    
Toys “R” Us–Delaware, Inc., Term Loan B
    4.481%       7/19/12       BB–     $ 2,001,249  
                                         
  12,707    
Total Specialty Retail
                            10,783,641  
                                         
       
Wireless Telecommunication Services – 1.0% (0.7% of Total Investments)
                                         
  1,995    
Asurion Corporation, Term Loan
    3.237%       7/03/14       N/R       1,940,443  
                                         
$ 272,356    
Total Variable Rate Senior Loan Interests (cost $248,355,163)
                            234,052,259  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 1.8% (1.3% of Total Investments)
         
       
Building Products – 1.7% (1.2% of Total Investments)
                                         
  88,501    
Masonite Worldwide Holdings, (10), (13)
                          $ 3,407,289  
                                         
       
Media – 0.1% (0.1% of Total Investments)
                                         
  5,365    
SuperMedia Inc.
                            194,803  
                                         
       
Total Common Stocks (cost $5,029,993)
    3,602,092  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 3.2% (2.4% of Total Investments)
         
       
Computers & Peripherals – 0.8% (0.6% of Total Investments)
                                         
$ 2,000    
Hutchinson Technology Inc.
    3.250%       1/15/26       B–     $ 1,667,500  
                                         
       
Food & Staples Retailing – 1.4% (1.0% of Total Investments)
                                         
  3,000    
Great Atlantic & Pacific Tea Company Inc.
    5.125%       6/15/11       CCC       2,805,000  
                                         
       
Real Estate Investment Trust – 0.7% (0.6% of Total Investments)
                                         
  1,500    
MPT Operating Partnership Limited Partnership, 144A
    6.125%       11/15/11       N/A       1,453,125  
                                         
       
Semiconductors & Equipment – 0.3% (0.2% of Total Investments)
                                         
  650    
Advanced Micro Devices, Inc.
    5.750%       8/15/12       B–       641,875  
                                         
$ 7,150    
Total Convertible Bonds (cost $5,203,103)
                            6,567,500  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 9.9% (7.3% of Total Investments)
         
       
Auto Components – 0.2% (0.2% of Total Investments)
                                         
$ 400    
Exide Technologies
    10.500%       3/15/13       B–     $ 410,000  
                                         
       
Automobiles – 1.4% (1.0% of Total Investments)
                                         
  6,000    
General Motors Corporation
    8.250%       7/15/23       N/R       1,695,000  
  4,000    
General Motors Corporation
    6.750%       5/01/28       N/R       1,080,000  
                                         
  10,000    
Total Automobiles
                            2,775,000  
                                         
       
Building Products – 0.1% (0.1% of Total Investments)
                                         
  250    
Ply Gem Industries Inc.
    11.750%       6/15/13       CCC+       255,625  
                                         
       
Construction Materials – 0.8% (0.6% of Total Investments)
                                         
  1,500    
Headwaters Inc., 144A
    11.375%       11/01/14       B+       1,582,500  
                                         
       
Health Care Providers & Services – 0.9% (0.7% of Total Investments)
                                         
  1,000    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.134%       9/15/15       CCC+       932,500  
  1,000    
US Oncology Holdings Inc., Floating Rate Note, 5.000% plus six-month LIBOR
    5.384%       3/15/12       CCC+       950,000  
                                         
  2,000    
Total Health Care Providers & Services
                            1,882,500  
                                         
       
Internet Software & Services – 0.7% (0.5% of Total Investments)
                                         
  1,500    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       1,331,250  
                                         
       
IT Services – 0.4% (0.3% of Total Investments)
                                         
  1,000    
First Data Corporation
    11.250%       3/31/16       CCC+       840,000  
                                         
       
Oil, Gas & Consumable Fuels – 0.7% (0.5% of Total Investments)
                                         
  1,600    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.749%       6/15/14       BB–       1,464,000  
                                         

     
     
Nuveen Investments
  17
     


 

       
       
   NSL
    Nuveen Senior Income Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Paper & Forest Products – 0.4% (0.3% of Total Investments)
                                         
$ 1,000    
Verso Paper Holdings LLC, Floating Rate Note, 3.750% plus three-month LIBOR
    3.999%       8/01/14       B2     $ 825,000  
                                         
       
Road & Rail – 0.4% (0.3% of Total Investments)
                                         
  1,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.749%       5/15/14       B–       835,000  
                                         
       
Semiconductors & Equipment – 1.2% (0.9% of Total Investments)
                                         
  1,350    
NXP BV, 144A
    10.000%       7/15/13       B–       1,407,375  
  1,000    
Spansion LLC, Floating Rate Note, 3.125% plus three-month LIBOR, 144A, (12)
    3.374%       6/01/13       D       1,000,000  
                                         
  2,350    
Total Semiconductors & Equipment
                            2,407,375  
                                         
       
Software – 1.4% (1.0% of Total Investments)
                                         
  2,950    
Telcordia Technologies Inc., 144A
    10.000%       3/15/13       CCC+       2,802,500  
                                         
       
Specialty Retail – 0.3% (0.2% of Total Investments)
                                         
  1,000    
Local Insight Regatta Holdings
    11.000%       12/01/17       CCC–       655,000  
                                         
       
Textiles, Apparel & Luxury Goods – 1.0% (0.7% of Total Investments)
                                         
  2,000    
HanesBrands Inc., Floating Rate Note, 3.375% plus six-month LIBOR
    3.759%       12/15/14       B+       1,910,000  
                                         
$ 28,550    
Total Corporate Bonds (cost $17,479,111)
                            19,975,750  
                                         
 Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 5.4% (3.9% of Total Investments)
                                         
$ 10,778    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/29/10, repurchase price $10,777,991, collateralized by $10,745,000 U.S. Treasury Notes, 3.750%, due 11/15/18, value $10,996,433
    0.010%       2/01/10             $ 10,777,982  
                                         
       
Total Short-Term Investments (cost $10,777,982)
                            10,777,982  
                                         
       
Total Investments (cost $286,845,352) – 136.5%
    274,975,583  
                                         
       
Borrowings – (36.7)% (14)
    (73,950,000 )
                                         
       
Other Assets Less Liabilities – 0.2%
    424,642  
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 201,450,225  
                                         
 
             
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   At or subsequent to January 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (6)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest.
        (7)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at January 31, 2010.
        (8)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at January 31, 2010.
        (9)   Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment categorized as Level 3. See Notes to Financial Statements, Footnote 2 – Fair Value Measurements for more information.
        (10)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (11)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (12)   This issue is under protection of the Federal Bankruptcy Court (the “Bankruptcy Court”). As a result, the Fund’s Adviser concluded that the issuer was not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records during the fiscal year ended July 31, 2009. On July 1, 2009, the Fund received its June 1, 2009 interest payment and subsequently received its September 1, 2009 interest payment as directed by the Bankruptcy Court’s Final Order. During this period, the Fund resumed accruing additional income on this issue. On September 2, 2009, the Fund ceased accruing additional income on this issue. On December 8, 2009, the Fund received its December 1, 2009 interest payment. As a result, the Fund’s Adviser concluded that the issuer was likely to meet its future interest payment obligations and resumed accruing interest on this issue.
        (13)   For fair value measurement disclosure purposes, investment categorized as Level 2. See Notes to Financial Statements, Footnote 2 – Fair Value Measurements for more information.
        (14)   Borrowings as a percentage of Total Investments is 26.9%.
        N/A   Not applicable/not available.
        N/R   Not rated.
        DD1   Portion of investment purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
 
See accompanying notes to financial statements.

     
     
18
  Nuveen Investments
     


 

           
           
  JFR
    Nuveen Floating Rate Income Fund
Portfolio of Investments
          January 31, 2010 (Unaudited)

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 120.1% (87.2% of Total Investments) (4)
         
       
Aerospace & Defense – 0.9% (0.7% of Total Investments)
                                         
$ 168    
Hawker Beechcraft, LLC, LC Facility, DD1
    0.000%       3/26/14       CCC+     $ 127,374  
  499    
Hawker Beechcraft, LLC, Term Loan B
    10.500%       3/26/14       CCC+       472,316  
  2,825    
Hawker Beechcraft, LLC, Term Loan, DD1
    2.000%       3/26/14       CCC+       2,147,106  
  2,300    
Transdigm, Inc., Term Loan B
    2.249%       6/23/13       Ba2       2,251,125  
                                         
  5,792    
Total Aerospace & Defense
                            4,997,921  
                                         
       
Airlines – 2.3% (1.7% of Total Investments)
                                         
  2,504    
ACTS Aero Technical Support & Services, Inc., Term Loan, (6)
    6.501%       10/16/14       N/R       863,758  
  3,210    
Delta Air Lines, Inc., Credit Linked Deposit
    2.245%       4/30/12       Ba2       2,995,733  
  4,317    
Delta Air Lines, Inc., Term Loan
    3.501%       4/30/14       B       3,758,362  
  6,066    
United Air Lines, Inc., Term Loan B
    2.250%       2/01/14       B+       4,937,334  
                                         
  16,097    
Total Airlines
                            12,555,187  
                                         
       
Auto Components – 2.5% (1.8% of Total Investments)
                                         
  9,463    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.168%       12/29/14       Ba3       8,043,177  
  5,267    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.168%       12/28/15       Ba3       4,477,154  
  1,000    
Goodyear Tire & Rubber Company, Term Loan
    2.340%       4/30/14       Ba1       934,167  
                                         
  15,730    
Total Auto Components
                            13,454,498  
                                         
       
Automobiles – 1.8% (1.3% of Total Investments)
                                         
  10,427    
Ford Motor Company, Term Loan
    3.259%       12/15/13       Ba3       9,777,430  
                                         
       
Building Products – 3.3% (2.4% of Total Investments)
                                         
  1,642    
Atrium Companies, Inc., Term Loan
    11.750%       5/31/12       D       1,490,308  
  5,000    
Building Materials Corporation of America, Term Loan, Second Lien
    6.063%       9/15/14       B2       4,912,500  
  7,746    
Building Materials Corporation of America, Term Loan
    3.000%       2/22/14       BBB–       7,597,649  
  4,471    
TFS Acquisition, Term Loan
    10.000%       8/11/13       CCC+       3,431,465  
                                         
  18,859    
Total Building Products
                            17,431,922  
                                         
       
Chemicals – 4.6% (3.3% of Total Investments)
                                         
  1,400    
Celanese US Holdings LLC, Credit Linked Deposit
    1.981%       4/02/14       BB+       1,352,750  
  547    
Hercules Offshore, Inc., Term Loan
    6.000%       7/11/13       B       523,910  
  5,978    
Hexion Specialty Chemicals, Inc., Term Loan C1
    2.563%       5/05/13       B1       5,693,246  
  1,299    
Hexion Specialty Chemicals, Inc., Term Loan C2
    2.563%       5/05/13       B1       1,236,735  
  3,616    
Huntsman International LLC, Term Loan
    1.996%       4/19/14       Ba2       3,465,768  
  3,690    
Ineos US Finance LLC, Tranche B2
    7.501%       12/16/13       B–       3,441,503  
  3,690    
Ineos US Finance LLC, Tranche C2
    10.001%       12/16/14       B–       3,441,503  
  24    
LyondellBasell Finance Company, Dutch Revolving Line of Credit, (5)
    3.731%       12/20/13       N/R       17,819  
  55    
LyondellBasell Finance Company, Dutch Tranche A, Term Loan, (5)
    3.731%       12/20/13       N/R       40,335  
  70    
LyondellBasell Finance Company, German Tranche B1, Euro Term Loan, (5)
    3.981%       12/22/14       N/R       51,157  
  70    
LyondellBasell Finance Company, German Tranche B2, Euro Term Loan, (5)
    3.981%       12/20/14       N/R       51,157  
  70    
LyondellBasell Finance Company, German Tranche B3, Euro Term Loan, (5)
    3.981%       12/22/14       N/R       51,157  
  91    
LyondellBasell Finance Company, Revolving Line of Credit, (5)
    3.731%       12/20/13       N/R       66,367  
  173    
LyondellBasell Finance Company, US Tranche A, Term Loan, (5)
    3.731%       12/20/13       N/R       126,449  
  302    
LyondellBasell Finance Company, US Tranche B1, Term Loan, (5)
    7.000%       12/22/14       N/R       220,224  
  302    
LyondellBasell Finance Company, US Tranche B2, Term Loan, (5)
    7.000%       12/22/14       N/R       220,224  
  302    
LyondellBasell Finance Company, US Tranche B3, Term Loan, (5)
    7.000%       12/22/14       N/R       220,224  
  730    
Solutia, Inc., Term Loan
    7.250%       2/28/14       Ba3       742,644  
  3,786    
Univar, Inc., Term Loan
    3.231%       10/10/14       B+       3,587,363  
                                         
  26,195    
Total Chemicals
                            24,550,535  
                                         
       
Commercial Services & Supplies – 2.2% (1.6% of Total Investments)
                                         
  3,117    
Rental Services Corporation, Term Loan
    3.760%       11/27/13       B–       2,949,753  
  360    
ServiceMaster Company, Delayed Term Loan
    2.740%       7/24/14       B+       334,117  
  3,619    
ServiceMaster Company, Term Loan
    2.744%       7/24/14       B+       3,355,088  
  2,000    
Universal City Development Partners, Ltd., Term Loan
    6.500%       11/06/14       Ba2       2,025,000  
  2,320    
West Corporation, Term Loan B4
    4.112%       6/30/16       BB–       2,301,079  
  957    
Workflow Holdings Corporation, Term Loan
    9.500%       11/30/11       Caa1       696,550  
                                         
  12,373    
Total Commercial Services & Supplies
                            11,661,587  
                                         

     
     
Nuveen Investments
  19
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Communications Equipment – 2.8% (2.0% of Total Investments)
                                         
$ 1,719    
Aspect Software, Inc., Term Loan B
    3.250%       7/11/11       B1     $ 1,650,538  
  14,674    
Avaya Inc., Term Loan
    3.011%       10/26/14       B+       13,185,977  
                                         
  16,393    
Total Communications Equipment
                            14,836,515  
                                         
       
Consumer Finance – 0.1% (0.1% of Total Investments)
                                         
  1,046    
Peach Holdings, Inc., Term Loan
    4.510%       11/30/13       CCC–       679,844  
                                         
       
Containers & Packaging – 0.8% (0.6% of Total Investments)
                                         
  486    
Amscan Holdings, Inc., Term Loan
    2.501%       5/27/13       B1       455,859  
  328    
Graham Packaging Company LP, Term Loan B
    2.500%       10/07/11       B+       326,517  
  3,287    
Graham Packaging Company LP, Term Loan C
    6.750%       4/05/14       B+       3,321,745  
                                         
  4,101    
Total Containers & Packaging
                            4,104,121  
                                         
       
Diversified Consumer Services – 0.6% (0.5% of Total Investments)
                                         
  3,828    
Cengage Learning Acquisitions, Inc., Term Loan
    2.750%       7/05/14       B+       3,409,391  
                                         
       
Diversified Financial Services – 1.3% (0.9% of Total Investments)
                                         
  2,000    
CIT Group, Inc., Tranche A1, Term Loan
    10.000%       1/18/12       N/R       2,067,084  
  3,000    
CIT Group, Inc., Tranche B1, Term Loan
    13.000%       1/18/12       N/R       3,072,189  
  1,782    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,699,858  
                                         
  6,782    
Total Diversified Financial Services
                            6,839,131  
                                         
       
Diversified Telecommunication Services – 4.2% (3.1% of Total Investments)
                                         
  3,171    
Intelsat, Tranche B2, Term Loan A
    2.731%       1/03/14       BB–       3,033,038  
  3,170    
Intelsat, Tranche B2, Term Loan B
    2.731%       1/03/14       BB–       3,032,109  
  3,170    
Intelsat, Tranche B2, Term Loan C
    2.731%       1/03/14       BB–       3,032,109  
  3,822    
Intelsat, Tranche B2, Term Loan
    2.731%       7/01/13       BB–       3,681,899  
  6,800    
Level 3 Financing, Inc., Term Loan
    2.501%       3/13/14       B+       6,203,783  
  3,811    
MetroPCS Wireless, Inc., Term Loan
    2.540%       11/03/13       Ba2       3,690,716  
                                         
  23,944    
Total Diversified Telecommunication Services
                            22,673,654  
                                         
       
Electric Utilities – 2.1% (1.5% of Total Investments)
                                         
  5,733    
Calpine Corporation, DIP Term Loan
    3.135%       3/29/14       B+       5,431,695  
  2,222    
Calpine Corporation, Delayed Draw, Term Loan, (7), (8)
    0.100%       3/31/14       B+       (212,962 )
  3,370    
TXU Corporation, Term Loan B2
    3.731%       10/10/14       B+       2,768,148  
  3,910    
TXU Corporation, Term Loan B3
    3.731%       10/10/14       B+       3,192,624  
                                         
  15,235    
Total Electric Utilities
                            11,179,505  
                                         
       
Electrical Equipment – 0.8% (0.6% of Total Investments)
                                         
  4,796    
Allison Transmission Holdings, Inc., Term Loan
    3.000%       8/07/14       B       4,413,902  
                                         
       
Electronic Equipment & Instruments – 0.5% (0.4% of Total Investments)
                                         
  2,955    
Sensata Technologies B.V., Term Loan
    1.999%       4/27/13       B       2,691,540  
                                         
       
Energy Equipment & Services – 0.2% (0.1% of Total Investments)
                                         
  953    
PGS Finance, Inc., Term Loan
    2.010%       6/29/15       Ba2       910,433  
                                         
       
Food & Staples Retailing – 1.1% (0.8% of Total Investments)
                                         
  2,000    
Rite Aid Corporation, Tranche 4, Term Loan
    9.500%       6/10/15       B+       2,097,500  
  4,491    
U.S. Foodservice, Inc., Term Loan
    2.730%       7/03/14       B2       3,977,958  
                                         
  6,491    
Total Food & Staples Retailing
                            6,075,458  
                                         
       
Food Products – 1.5% (1.1% of Total Investments)
                                         
  376    
Dole Food Company, Inc., Deposit-Funded Commitment
    0.171%       4/12/13       Ba2       379,900  
  653    
Dole Food Company, Inc., Term Loan B
    7.970%       4/12/13       Ba2       660,667  
  2,119    
Dole Food Company, Inc., Term Loan C
    8.000%       4/12/13       Ba2       2,143,553  
  5,000    
Pinnacle Foods Finance LLC, Term Loan
    2.750%       4/02/14       B       5,050,000  
                                         
  8,148    
Total Food Products
                            8,234,120  
                                         
       
Health Care Equipment & Supplies – 0.2% (0.1% of Total Investments)
                                         
  146    
Fenwal, Inc., Delayed Term Loan
    2.506%       2/28/14       B       127,276  
  850    
Fenwal, Inc., Term Loan
    2.506%       2/28/14       B       742,656  
                                         
  996    
Total Health Care Equipment & Supplies
                            869,932  
                                         
       
Health Care Providers & Services – 10.9% (7.9% of Total Investments)
                                         
  697    
Community Health Systems, Inc., Delayed Term Loan
    2.511%       7/25/14       BB       660,026  
  13,640    
Community Health Systems, Inc., Term Loan
    2.506%       7/25/14       BB       12,910,491  
  15,368    
HCA, Inc., Term Loan
    2.501%       11/18/13       BB       14,638,372  

     
     
20
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Health Care Providers & Services (continued)
                                         
$ 6,140    
Health Management Associates, Inc., Term Loan
    2.001%       2/28/14       BB–     $ 5,843,849  
  804    
HealthSouth Corporation, Tranche 1, Term Loan
    2.510%       3/10/13       BB–       786,008  
  662    
HealthSouth Corporation, Tranche 2, Term Loan
    4.010%       3/15/14       BB–       656,983  
  1,770    
IASIS Healthcare LLC, Delayed Term Loan
    2.231%       3/14/14       Ba2       1,694,409  
  479    
IASIS Healthcare LLC, Letter of Credit
    2.229%       3/14/14       Ba2       458,723  
  1,099    
IASIS Healthcare LLC, PIK Term Loan
    5.499%       6/15/14       CCC+       1,033,099  
  5,116    
IASIS Healthcare LLC, Term Loan
    2.231%       3/14/14       Ba2       4,896,039  
  3,830    
LifeCare, Term Loan B
    4.500%       8/10/12       B2       3,265,075  
  2,000    
Rehabcare Group, Inc., Term Loan B
    6.000%       11/24/15       BB       2,009,000  
  1,323    
Select Medical Corporation, Term Loan
    2.267%       2/24/12       Ba2       1,283,181  
  8,443    
Vanguard Health Holding Company II LLC, Replacement Term Loan, WI/DD
    TBD       TBD       Ba3       8,451,391  
                                         
  61,371    
Total Health Care Providers & Services
                            58,586,646  
                                         
       
Hotels, Restaurants & Leisure – 11.3% (8.2% of Total Investments)
                                         
  5,213    
24 Hour Fitness Worldwide, Inc., Term Loan B
    2.760%       6/08/12       Ba3       4,939,111  
  116    
Buffets, Inc., 1st Lien Exit Term Loan
    18.000%       4/30/12       B1       117,940  
  66    
Buffets, Inc., 2nd Lien Exit Letter of Credit
    0.518%       4/28/15       N/R       58,954  
  342    
Buffets, Inc., 2nd Lien Exit Term Loan
    17.749%       5/01/13       N/R       304,357  
  952    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–       943,207  
  3,695    
Cedar Fair LP, Extended US Term Loan
    4.231%       8/30/14       BB–       3,690,945  
  1,829    
Cedar Fair LP, Term Loan
    2.231%       8/30/12       BB–       1,824,627  
  2,113    
Fontainebleau Las Vegas LLC, Term Loan, (5), (6)
    4.000%       6/06/14       N/R       512,284  
  637    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    1.981%       11/25/13       B+       633,073  
  724    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    1.981%       11/25/13       B+       719,809  
  1,811    
Isle of Capri Casinos, Inc., Delayed Term Loan
    2.001%       11/25/13       B+       1,799,523  
  6,885    
Orbitz Worldwide, Inc., Term Loan
    3.067%       7/25/14       B+       6,581,721  
  262    
OSI Restaurant Partners LLC, Revolver
    0.626%       6/14/13       B+       236,559  
  2,226    
OSI Restaurant Partners LLC, Term Loan
    2.563%       6/14/14       B+       2,009,243  
  3,000    
Reynolds Group Holdings, Inc., US Term Loan
    6.250%       11/05/15       BB–       3,044,625  
  1,476    
Sagittarius Restaurants LLC, Term Loan
    9.750%       3/29/13       B2       1,439,439  
  9,000    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       9,104,067  
  1,950    
Travelport LLC, Delayed Term Loan
    2.738%       8/23/13       Ba3       1,874,438  
  981    
Travelport LLC, Letter of Credit
    2.751%       8/23/13       Ba3       940,957  
  4,891    
Travelport LLC, Term Loan
    2.740%       8/23/13       Ba3       4,689,532  
  3,369    
Venetian Casino Resort LLC, Delayed Term Loan
    2.010%       5/23/14       B–       2,975,893  
  13,747    
Venetian Casino Resort LLC, Term Loan
    2.010%       5/23/14       B–       12,144,351  
                                         
  65,285    
Total Hotels, Restaurants & Leisure
                            60,584,655  
                                         
       
Household Products – 2.2% (1.6% of Total Investments)
                                         
  586    
Spectrum Brands, Inc., Synthetic Letter of Credit, DD1
    1.500%       6/30/12       B–       586,146  
  11,368    
Spectrum Brands, Inc., Term Loan, DD1
    7.997%       6/30/12       B–       11,368,290  
                                         
  11,954    
Total Household Products
                            11,954,436  
                                         
       
Independent Power Producers & Energy Traders – 1.1% (0.8% of Total Investments)
                                         
  2,268    
NRG Energy, Inc., Credit Linked Deposit
    2.001%       2/01/13       Baa3       2,199,866  
  3,855    
NRG Energy, Inc., Term Loan
    1.996%       2/01/13       Baa3       3,739,498  
                                         
  6,123    
Total Independent Power Producers & Energy Traders
                            5,939,364  
                                         
       
Insurance – 1.8% (1.3% of Total Investments)
                                         
  10,217    
Conseco, Inc., Term Loan
    7.500%       10/10/13       B–       9,744,672  
                                         
       
Internet Software & Services – 0.6% (0.5% of Total Investments)
                                         
  766    
Open Solutions, Inc., Term Loan B
    2.375%       1/23/14       BB–       682,566  
  3,000    
Sabre, Inc., Term Loan
    2.490%       9/30/14       B1       2,689,167  
                                         
  3,766    
Total Internet Software & Services
                            3,371,733  
                                         
       
IT Services – 4.6% (3.4% of Total Investments)
                                         
  9,598    
First Data Corporation, Term Loan B2
    2.999%       9/24/14       B+       8,321,574  
  5,942    
First Data Corporation, Term Loan B3, DD1
    2.999%       9/24/14       B+       5,135,777  
  1,666    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
    3.990%       7/28/12       B+       1,562,069  
  367    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    6.481%       3/02/14       CCC+       284,625  
  633    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
    6.481%       3/02/14       CCC+       522,500  
  3,194    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    3.990%       7/28/12       B+       2,993,965  
  6,203    
SunGard Data Systems, Inc., Term Loan B
    1.981%       2/28/14       BB       6,012,377  
                                         
  27,603    
Total IT Services
                            24,832,887  
                                         

     
     
Nuveen Investments
  21
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Leisure Equipment & Products – 2.3% (1.6% of Total Investments)
                                         
$ 13,840    
Bombardier Recreational Products, Inc., Term Loan
    3.276%       6/28/13       Caa1     $ 10,492,651  
  5,000    
Wimar OpCo LLC, Term Loan, (5), (6)
    2.250%       1/03/12       N/R       1,562,500  
                                         
  18,840    
Total Leisure Equipment & Products
                            12,055,151  
                                         
       
Machinery – 0.5% (0.3% of Total Investments)
                                         
  2,542    
Oshkosh Truck Corporation, Term Loan
    6.260%       12/06/13       BB–       2,557,340  
                                         
       
Media – 19.6% (14.2% of Total Investments)
                                         
  27    
American Media Operations, Inc., Term Loan
    10.000%       1/30/13       B–       25,459  
  5,052    
Cequel Communications LLC, Term Loan B
    2.253%       11/05/13       BB–       4,823,212  
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    6.750%       3/06/14       BB+       2,731,875  
  16,997    
Charter Communications Operating Holdings LLC, Term Loan
    2.260%       3/06/14       BB+       15,855,462  
  2,012    
Citadel Broadcasting Corporation, Term Loan, (5), (6), (10), DD1
    1.750%       6/12/14       D       1,633,225  
  1,712    
Gray Television, Inc., Term Loan B
    3.750%       12/31/14       Caa1       1,577,197  
  3,242    
Mediacom Broadband LLC, Tranche D, Term Loan
    5.500%       3/31/17       BB–       3,258,895  
  17,393    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, DD1
    18.250%       4/08/12       N/R       10,495,721  
  2,605    
Nielsen Finance LLC, Term Loan A
    2.231%       8/09/13       Ba3       2,498,173  
  7,523    
Nielsen Finance LLC, Term Loan B
    3.981%       5/02/16       Ba3       7,356,442  
  4,721    
Philadelphia Newspapers, Term Loan, (5), (6)
    5.500%       6/29/13       N/R       1,109,320  
  805    
Reader’s Digest Association, Inc., DIP Term Loan
    13.500%       3/01/14       B–       837,102  
  198    
Reader’s Digest Association, Inc., Euro Term Loan
    7.000%       3/03/14       N/R       117,986  
  551    
Reader’s Digest Association, Inc., Revolving Credit Loan
    4.250%       3/02/13       D       328,995  
  2,221    
Reader’s Digest Association, Inc., U.S. Term Loan
    2.000%       3/03/14       D       1,324,910  
  3,096    
SFX Entertainment, Inc., Term Loan
    3.497%       6/21/13       Ba3       2,987,720  
  5,421    
Spanish Broadcasting System, Inc., Term Loan B
    2.010%       6/10/12       CCC+       4,544,980  
  3,086    
SuperMedia, Term Loan
    8.000%       12/31/15       B2       2,919,938  
  19,682    
Tribune Company, Term Loan B, (5), (6), DD1
    3.000%       6/04/14       Ca       12,375,340  
  2,048    
Tribune Company, Term Loan X, (5), (6)
    2.750%       N/A       Ca       1,249,280  
  23,000    
Univision Communications, Inc., Term Loan
    2.501%       9/29/14       B2       20,090,497  
  3,000    
UPC Broadband Holding BV, Term Loan N
    2.180%       12/31/14       Ba3       2,886,876  
  5,092    
Yell Group PLC, Term Loan
    3.981%       7/31/14       N/R       3,994,682  
                                         
  132,484    
Total Media
                            105,023,287  
                                         
       
Metals & Mining – 1.6% (1.2% of Total Investments)
                                         
  788    
Aleris International, Inc., DIP Term Loan, (5), (7)
    6.215%       2/12/10       N/R       826,343  
  1,858    
Amsted Industries, Inc., Delayed Term Loan
    2.263%       4/05/13       BB       1,781,628  
  2,560    
Amsted Industries, Inc., Term Loan
    2.252%       4/05/13       BB       2,454,202  
  3,771    
John Maneely Company, Term Loan
    3.501%       12/08/13       B       3,621,429  
                                         
  8,977    
Total Metals & Mining
                            8,683,602  
                                         
       
Multiline Retail – 0.5% (0.4% of Total Investments)
                                         
  3,197    
Neiman Marcus Group, Inc., Term Loan
    2.255%       4/06/13       BB–       2,922,378  
                                         
       
Oil, Gas & Consumable Fuels – 3.1% (2.2% of Total Investments)
                                         
  2,568    
ATP Oil and Gas Corporation, Tranche B1, Term Loan
    11.250%       1/15/14       N/R       2,578,776  
  362    
ATP Oil and Gas Corporation, Tranche B2, Term Loan
    12.250%       1/15/11       N/R       364,074  
  1,659    
Big West Oil LLC, Delayed Term Loan
    4.500%       5/15/14       B2       1,609,476  
  1,320    
Big West Oil LLC, Term Loan
    4.500%       5/15/14       B2       1,280,265  
  1,945    
Brand Energy & Infrastructure Services, Inc., Term Loan B
    2.563%       2/07/14       B1       1,830,731  
  412    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.104%       1/03/15       B1       370,307  
  3,061    
Calumet Lubricants Company LP, Term Loan
    4.273%       1/03/15       B1       2,749,422  
  2,947    
CCS Income Trust, Term Loan
    3.231%       11/14/14       B       2,539,650  
  3,500    
Venoco, Inc., Term Loan
    4.250%       5/07/14       BB–       3,238,596  
                                         
  17,774    
Total Oil, Gas & Consumable Fuels
                            16,561,297  
                                         
       
Paper & Forest Products – 0.3% (0.2% of Total Investments)
                                         
  1,955    
Wilton Products, Term Loan
    3.490%       11/16/14       B+       1,515,125  
                                         
       
Pharmaceuticals – 2.4% (1.7% of Total Investments)
                                         
  2,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan
    6.731%       5/03/13       CCC+       1,065,000  
  915    
Graceway Pharmaceuticals LLC, Term Loan
    2.981%       5/03/12       BB–       762,750  
  1,305    
Warner Chilcott Corporation, Add on Term Loan
    5.750%       4/30/15       BB+       1,310,338  
  3,729    
Warner Chilcott Corporation, Term Loan A
    5.500%       10/30/14       BB+       3,744,661  
  1,864    
Warner Chilcott Corporation, Term Loan B1
    5.750%       4/30/15       BB+       1,871,510  
  4,102    
Warner Chilcott Corporation, Term Loan B2
    5.750%       4/30/15       BB+       4,117,322  
                                         
  13,915    
Total Pharmaceuticals
                            12,871,581  
                                         

     
     
22
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Professional Services – 0.2% (0.1% of Total Investments)
                                         
$ 1,000    
Vertrue Inc., Term Loan, WI/DD
    TBD       TBD       Ba3     $ 800,000  
                                         
       
Real Estate Investment Trust – 0.4% (0.3% of Total Investments)
                                         
  1,838    
Tishman Speyer Real Estate, Liquidation Facility
    15.000%       N/A       N/R       1,842,094  
                                         
       
Real Estate Management & Development – 4.2% (3.1% of Total Investments)
                                         
  7,990    
Capital Automotive LP, Tranche C
    2.740%       12/14/12       Ba3       7,364,856  
  12,625    
LNR Property Corporation, Term Loan B
    3.480%       7/12/11       CCC       10,131,927  
  5,850    
Realogy Corporation, Delayed Term Loan
    3.250%       10/10/13       Caa1       5,221,426  
                                         
  26,465    
Total Real Estate Management & Development
                            22,718,209  
                                         
       
Road & Rail – 5.7% (4.1% of Total Investments)
                                         
  2,479    
Avis Budget Car Rental, LLC Term Loan
    4.000%       4/19/12       Ba3       2,426,344  
  667    
Hertz Corporation, Letter of Credit
    2.003%       12/21/12       Ba1       651,034  
  3,625    
Hertz Corporation, Term Loan
    2.013%       12/21/12       Ba1       3,537,907  
  24,631    
Swift Transportation Company, Inc., Term Loan
    6.250%       5/10/14       B–       23,698,951  
                                         
  31,402    
Total Road & Rail
                            30,314,236  
                                         
       
Semiconductors & Equipment – 0.5% (0.4% of Total Investments)
                                         
  2,890    
Freescale Semiconductor, Inc., Term Loan
    1.981%       12/01/13       B2       2,601,172  
                                         
       
Software – 4.3% (3.2% of Total Investments)
                                         
  6,000    
Dealer Computer Services, Inc., Term Loan, Second Lien
    5.751%       10/26/13       B       5,389,998  
  11,449    
Dealer Computer Services, Inc., Term Loan
    2.251%       10/26/12       BB       10,987,469  
  7,000    
IPC Systems, Inc., Term Loan, Second Lien
    5.501%       5/31/15       CCC       5,337,500  
  1,818    
IPC Systems, Inc., Term Loan
    2.493%       5/31/14       B1       1,595,328  
                                         
  26,267    
Total Software
                            23,310,295  
                                         
       
Specialty Retail – 5.8% (4.2% of Total Investments)
                                         
  7,090    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.510%       5/28/13       B–       6,632,631  
  2,980    
Claire’s Stores, Inc., Term Loan B
    3.001%       5/29/14       B–       2,456,954  
  5,000    
Michaels Stores, Inc., Term Loan B1, DD1
    2.562%       10/31/13       B       4,524,477  
  5,387    
Michaels Stores, Inc., Term Loan B2
    4.812%       7/31/16       B       5,146,031  
  2,000    
Pilot Travel Centers LLC, Term Loan, WI/DD
    TBD       TBD       BBB–       2,022,142  
  4,581    
Sally Holdings LLC, Term Loan
    2.480%       11/16/13       BB       4,492,798  
  5,985    
Toys “R” Us–Delaware, Inc., Term Loan B
    4.481%       7/19/12       BB–       5,988,815  
                                         
  33,023    
Total Specialty Retail
                            31,263,848  
                                         
       
Trading Companies & Distributors – 0.4% (0.3% of Total Investments)
                                         
  384    
Brenntag Holdings GmbH & Co. KG, Acquisition Facility
    2.007%       1/20/14       BB–       376,123  
  1,572    
Brenntag Holdings GmbH & Co. KG, Facility B2
    1.986%       1/20/14       BB–       1,540,457  
                                         
  1,956    
Total Trading Companiess & Distributors
                            1,916,580  
                                         
       
Wireless Telecommunication Services – 2.0% (1.4% of Total Investments)
                                         
  10,973    
Asurion Corporation, Term Loan
    3.237%       7/03/14       N/R       10,672,435  
                                         
$ 722,958    
Total Variable Rate Senior Loan Interests (cost $666,438,678)
            643,989,649  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 2.3% (1.7% of Total Investments)
         
       
Building Products – 2.2% (1.6% of Total Investments)
                                         
  301,905    
Masonite Worldwide Holdings, (9), (12)
                          $ 11,623,343  
                                         
       
Hotels, Restaurants & Leisure – 0.0% (0.0% of Total Investments)
                                         
  13,895    
Buffets Restaurant Holdings Inc., (9), (12)
                            106,818  
                                         
       
Media – 0.1% (0.1% of Total Investments)
                                         
  14,308    
SuperMedia Inc.
                            519,523  
                                         
       
Total Common Stocks (cost $17,019,093)
    12,249,684  
                                         

     
     
Nuveen Investments
  23
     


 

       
       
   JFR
    Nuveen Floating Rate Income Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 9.1% (6.7% of Total Investments)
         
       
Automobiles – 0.5% (0.4% of Total Investments)
                                         
$ 10,000    
General Motors Corporation
    8.250%       7/15/23       N/R     $ 2,825,000  
                                         
       
Diversified Telecommunication Services – 1.3% (0.9% of Total Investments)
                                         
  2,000    
Intelsat Limited
    7.625%       4/15/12       CCC+       2,020,000  
  5,000    
Qwest Corporation, Floating Rate Note, 3.250% plus three-month LIBOR
    3.499%       6/15/13       BBB–       4,912,500  
                                         
  7,000    
Total Diversified Telecommunication Services
                            6,932,500  
                                         
       
Energy Equipment & Services – 0.9% (0.7% of Total Investments)
                                         
  5,000    
Williams Companies Inc., Floating Rate Note, 2.000% plus three-month LIBOR, 144A
    2.249%       10/01/10       BB+       4,998,485  
                                         
       
Food Products – 0.1% (0.1% of Total Investments)
                                         
  623    
Dole Foods Company
    8.875%       3/15/11       B–       623,779  
                                         
       
Health Care Providers & Services – 0.5% (0.4% of Total Investments)
                                         
  2,000    
HCA Inc., 144A
    8.500%       4/15/19       BB       2,125,000  
  500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.134%       9/15/15       CCC+       466,250  
                                         
  2,500    
Total Health Care Providers & Services
                            2,591,250  
                                         
       
Hotels, Restaurants & Leisure – 1.3% (1.0% of Total Investments)
                                         
  7,900    
Mohegan Tribal Gaming Authority
    8.000%       4/01/12       CCC+       7,317,375  
                                         
       
Internet Software & Services – 0.3% (0.2% of Total Investments)
                                         
  1,750    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       1,553,125  
                                         
       
IT Services – 0.5% (0.4% of Total Investments)
                                         
  1,000    
First Data Corporation
    10.550%       9/24/15       B–       855,000  
  2,500    
First Data Corporation
    11.250%       3/31/16       CCC+       2,100,000  
                                         
  3,500    
Total IT Services
                            2,955,000  
                                         
       
Oil, Gas & Consumable Fuels – 0.7% (0.5% of Total Investments)
                                         
  4,000    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.749%       6/15/14       BB–       3,660,000  
                                         
       
Paper & Forest Products – 0.3% (0.2% of Total Investments)
                                         
  2,000    
Verso Paper Holdings LLC., Floating Rate Note, 3.750% plus three-month LIBOR
    3.999%       8/01/14       B–       1,650,000  
                                         
       
Road & Rail – 0.3% (0.2% of Total Investments)
                                         
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.749%       5/15/14       B–       1,670,000  
                                         
       
Semiconductors & Equipment – 1.6% (1.2% of Total Investments)
                                         
  4,320    
NXP BV, 144A
    10.000%       7/15/13       B–       4,503,600  
  4,000    
Spansion LLC, Floating Rate Note, 3.125% plus three-month LIBOR, 144A, (11)
    3.374%       6/01/13       D       4,000,000  
                                         
  8,320    
Total Semiconductors & Equipment
                            8,503,600  
                                         
       
Software – 0.2% (0.1% of Total Investments)
                                         
  1,000    
Telcordia Technologies Inc., Floating Rate Note, 3.750% plus three-month LIBOR, 144A
    3.999%       7/15/12       B       955,000  
                                         
       
Textiles, Apparel & Luxury Goods – 0.2% (0.1% of Total Investments)
                                         
  1,000    
HanesBrands Inc., Floating Rate Note, 3.375% plus six-month LIBOR
    3.759%       12/15/14       B+       955,000  
                                         
       
Wireless Telecommunication Services – 0.4% (0.3% of Total Investments)
                                         
  2,000    
Sprint Nextel Corporation
    8.375%       8/15/17       BB       1,960,000  
                                         
$ 58,593    
Total Corporate Bonds (cost $47,133,514)
                            49,150,114  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Investment Companies – 2.2% (1.6% of Total Investments)
                                         
  353,668    
Eaton Vance Floating-Rate Income Trust Fund
                          $ 5,358,070  
  963,820    
Eaton Vance Senior Income Trust
                            6,303,383  
                                         
       
Total Investment Companies (cost $11,947,776)
    11,661,453  
                                         

     
     
24
  Nuveen Investments
     


 

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 3.9% (2.8% of Total Investments)
                                         
$ 20,850    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/29/10, repurchase price $20,849,831, collateralized by $20,785,000 U.S. Treasury Notes, 3.750%, due 11/15/18, value $21,271,369
    0.010%       2/01/10             $ 20,849,814  
                                         
       
Total Short-Term Investments (cost $20,849,814)
                            20,849,814  
                                         
       
Total Investments (cost $763,388,875) – 137.6%
    737,900,714  
                                         
       
Borrowings – (36.9)% (13)
    (197,740,000 )
                                         
       
Other Assets Less Liabilities – (0.7)%
    (4,076,624 )
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 536,084,090  
                                         
 
             
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   At or subsequent to January 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (6)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest.
        (7)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at January 31, 2010.
        (8)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at January 31, 2010.
        (9)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (10)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (11)   This issue is under protection of the Federal Bankruptcy Court (the “Bankruptcy Court”). As a result, the Fund’s Adviser concluded that the issuer was not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records during the fiscal year ended July 31, 2009. On July 1, 2009, the Fund received its June 1, 2009 interest payment and subsequently received its September 1, 2009 interest payment as directed by the Bankruptcy Court’s Final Order. During this period, the Fund resumed accruing additional income on this issue. On September 2, 2009, the Fund ceased accruing additional income on this issue. On December 8, 2009, the Fund received its December 1, 2009 interest payment. As a result, the Fund’s Adviser concluded that the issuer was likely to meet its future interest payment obligations and resumed accruing interest on this issue.
        (12)   For fair value measurement disclosure purposes, investment categorized as Level 2. See Notes to Financial Statements, Footnote 2 – Fair Value Measurements for more information.
        (13)   Borrowings as a percentage of Total Investments is 26.8%.
        N/A   Not applicable.
        N/R   Not rated.
        DD1   Portion of investment purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
See accompanying notes to financial statements.

     
     
Nuveen Investments
  25
     


 

           
           
  JRO
    Nuveen Floating Rate Income Opportunity Fund
Portfolio of Investments
          January 31, 2010 (Unaudited)

 
                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Variable Rate Senior Loan Interests – 119.2% (87.1% of Total Investments) (4)
         
       
Aerospace & Defense – 1.3% (1.0% of Total Investments)
                                         
$ 574    
DAE Aviation Holdings, Inc., Term Loan B1
    4.000%       7/31/14       B     $ 541,915  
  561    
DAE Aviation Holdings, Inc., Term Loan B2
    4.000%       7/31/14       B       528,807  
  112    
Hawker Beechcraft, LLC, LC Facility, WI/DD
    TBD       TBD       CCC+       84,916  
  499    
Hawker Beechcraft, LLC, Term Loan B
    10.500%       3/26/14       CCC+       472,316  
  1,883    
Hawker Beechcraft, LLC, Term Loan, WI/DD
    TBD       TBD       CCC+       1,431,404  
  1,150    
Transdigm, Inc., Term Loan B
    2.249%       6/23/13       Ba2       1,125,563  
                                         
  4,779    
Total Aerospace & Defense
                            4,184,921  
                                         
       
Airlines – 2.7% (2.0% of Total Investments)
                                         
  2,250    
Delta Air Lines, Inc., Credit Linked Deposit
    2.245%       4/30/12       Ba2       2,099,813  
  3,356    
Delta Air Lines, Inc., Term Loan
    3.501%       4/30/14       B       2,922,193  
  4,532    
United Air Lines, Inc., Term Loan B
    2.250%       2/01/14       B+       3,688,812  
                                         
  10,138    
Total Airlines
                            8,710,818  
                                         
       
Auto Components – 3.0% (2.2% of Total Investments)
                                         
  7,473    
Federal-Mogul Corporation, Tranche B, Term Loan
    2.168%       12/29/14       Ba3       6,351,840  
  3,813    
Federal-Mogul Corporation, Tranche C, Term Loan
    2.168%       12/28/15       Ba3       3,241,456  
                                         
  11,286    
Total Auto Components
                            9,593,296  
                                         
       
Automobiles – 2.8% (2.0% of Total Investments)
                                         
  9,431    
Ford Motor Company, Term Loan
    3.259%       12/15/13       Ba3       8,843,352  
                                         
       
Building Products – 4.0% (2.9% of Total Investments)
                                         
  1,642    
Atrium Companies, Inc., Term Loan
    11.750%       5/31/12       D       1,490,308  
  3,000    
Building Materials Corporation of America, Term Loan, Second Lien
    6.063%       9/15/14       B2       2,947,500  
  5,825    
Building Materials Corporation of America, Term Loan
    3.000%       2/22/14       BBB–       5,713,126  
  3,478    
TFS Acquisition, Term Loan
    10.000%       8/11/13       CCC+       2,669,537  
                                         
  13,945    
Total Building Products
                            12,820,471  
                                         
       
Chemicals – 3.4% (2.5% of Total Investments)
                                         
  800    
Celanese US Holdings LLC, Credit Linked Deposit
    1.981%       4/02/14       BB+       773,000  
  523    
Hercules Offshore, Inc., Term Loan
    6.000%       7/11/13       B       500,434  
  2,949    
Hexion Specialty Chemicals, Inc., Term Loan C1
    2.563%       5/05/13       B1       2,808,305  
  641    
Hexion Specialty Chemicals, Inc., Term Loan C2
    2.563%       5/05/13       B1       610,044  
  2,992    
Huntsman International LLC, Term Loan
    1.996%       4/19/14       Ba2       2,867,557  
  1,469    
Ineos US Finance LLC, Tranche B2
    7.501%       12/16/13       B–       1,370,571  
  1,469    
Ineos US Finance LLC, Tranche C2
    10.001%       12/16/14       B–       1,370,571  
  12    
LyondellBasell Finance Company, Dutch Revolving Line of Credit, (5)
    3.731%       12/20/13       N/R       8,910  
  27    
LyondellBasell Finance Company, Dutch Tranche A, Term Loan, (5)
    3.731%       12/20/13       N/R       20,167  
  35    
LyondellBasell Finance Company, German Tranche B1, Euro Term Loan, (5)
    3.981%       12/22/14       N/R       25,579  
  35    
LyondellBasell Finance Company, German Tranche B2, Euro Term Loan, (5)
    3.981%       12/20/14       N/R       25,579  
  35    
LyondellBasell Finance Company, German Tranche B3, Euro Term Loan, (5)
    3.981%       12/22/14       N/R       25,579  
  45    
LyondellBasell Finance Company, Revolving Line of Credit, (5)
    3.731%       12/20/13       N/R       33,184  
  87    
LyondellBasell Finance Company, US Tranche A, Term Loan, (5)
    3.731%       12/20/13       N/R       63,224  
  151    
LyondellBasell Finance Company, US Tranche B1, Term Loan, (5)
    7.000%       12/22/14       N/R       110,112  
  151    
LyondellBasell Finance Company, US Tranche B2, Term Loan, (5)
    7.000%       12/22/14       N/R       110,112  
  151    
LyondellBasell Finance Company, US Tranche B3, Term Loan, (5)
    7.000%       12/22/14       N/R       110,112  
                                         
  11,572    
Total Chemicals
                            10,833,040  
                                         
       
Commercial Services & Supplies – 2.0% (1.5% of Total Investments)
                                         
  1,562    
Rental Services Corporation, Term Loan
    3.760%       11/27/13       B–       1,477,713  
  180    
ServiceMaster Company, Delayed Term Loan
    2.740%       7/24/14       B+       167,058  
  1,810    
ServiceMaster Company, Term Loan
    2.744%       7/24/14       B+       1,677,544  
  2,000    
Universal City Development Partners, Ltd., Term Loan
    6.500%       11/06/14       Ba2       2,025,000  
  517    
West Corporation, Term Loan B4
    4.112%       6/30/16       BB–       512,906  
  718    
Workflow Holdings Corporation, Term Loan
    9.500%       11/30/11       Caa1       522,412  
                                         
  6,787    
Total Commercial Services & Supplies
                            6,382,633  
                                         
       
Communications Equipment – 3.4% (2.5% of Total Investments)
                                         
  1,719    
Aspect Software, Inc., Term Loan B
    3.250%       7/11/11       B1       1,650,538  
  10,446    
Avaya Inc., Term Loan
    3.011%       10/26/14       B+       9,386,709  
                                         
  12,165    
Total Communications Equipment
                            11,037,247  
                                         

     
     
26
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Containers & Packaging – 0.1% (0.1% of Total Investments)
                                         
$ 486    
Amscan Holdings, Inc., Term Loan
    2.501%       5/27/13       B1     $ 455,859  
                                         
       
Diversified Consumer Services – 0.8% (0.6% of Total Investments)
                                         
  911    
Cengage Learning Acquisitions, Inc., Term Loan
    2.750%       7/05/14       B+       811,047  
  255    
Laureate Education, Inc., Delayed Term Loan
    3.499%       8/17/14       B1       236,944  
  1,703    
Laureate Education, Inc., Term Loan B
    3.499%       8/17/14       B1       1,583,077  
                                         
  2,869    
Total Diversified Consumer Services
                            2,631,068  
                                         
       
Diversified Financial Services – 1.5% (1.1% of Total Investments)
                                         
  1,000    
CIT Group, Inc., Tranche A1, Term Loan
    10.000%       1/18/12       N/R       1,033,542  
  2,000    
CIT Group, Inc., Tranche B1, Term Loan
    13.000%       1/18/12       N/R       2,048,126  
  1,782    
Fox Acquisition Sub LLC, Term Loan B
    7.500%       7/14/15       B       1,699,858  
                                         
  4,782    
Total Diversified Financial Services
                            4,781,526  
                                         
       
Diversified Telecommunication Services – 3.5% (2.6% of Total Investments)
                                         
  578    
Intelsat, Tranche B2, Term Loan A
    2.731%       1/03/14       BB–       552,414  
  577    
Intelsat, Tranche B2, Term Loan B
    2.731%       1/03/14       BB–       552,245  
  577    
Intelsat, Tranche B2, Term Loan C
    2.731%       1/03/14       BB–       552,245  
  1,911    
Intelsat, Tranche B2, Term Loan
    2.731%       7/01/13       BB–       1,840,949  
  2,000    
Intelsat, Unsecured Term Loan
    2.733%       2/01/14       B+       1,750,000  
  4,533    
Level 3 Financing, Inc., Term Loan
    2.501%       3/13/14       B+       4,135,855  
  1,896    
MetroPCS Wireless, Inc., Term Loan
    2.540%       11/03/13       Ba2       1,835,845  
                                         
  12,072    
Total Diversified Telecommunication Services
                            11,219,553  
                                         
       
Electric Utilities – 1.8% (1.3% of Total Investments)
                                         
  2,361    
Calpine Corporation, DIP Term Loan
    3.135%       3/29/14       B+       2,236,653  
  1,111    
Calpine Corporation, Delayed Draw, Term Loan, (7), (8)
    0.100%       3/31/14       B+       (106,481 )
  2,425    
TXU Corporation, Term Loan B2
    3.731%       10/10/14       B+       1,992,029  
  1,955    
TXU Corporation, Term Loan B3
    3.731%       10/10/14       B+       1,596,312  
                                         
  7,852    
Total Electric Utilities
                            5,718,513  
                                         
       
Electrical Equipment – 0.3% (0.2% of Total Investments)
                                         
  894    
Allison Transmission Holdings, Inc., Term Loan
    3.000%       8/07/14       B       822,309  
                                         
       
Electronic Equipment & Instruments – 0.5% (0.4% of Total Investments)
                                         
  1,930    
Sensata Technologies B.V., Term Loan
    1.999%       4/27/13       B       1,758,110  
                                         
       
Food & Staples Retailing – 1.1% (0.8% of Total Investments)
                                         
  3,992    
U.S. Foodservice, Inc., Term Loan
    2.730%       7/03/14       B2       3,536,216  
                                         
       
Food Products – 1.4% (1.0% of Total Investments)
                                         
  168    
Dole Food Company, Inc., Deposit-Funded Commitment
    0.171%       4/12/13       Ba2       170,333  
  293    
Dole Food Company, Inc., Term Loan B
    7.970%       4/12/13       Ba2       296,219  
  950    
Dole Food Company, Inc., Term Loan C
    8.000%       4/12/13       Ba2       961,090  
  3,000    
Pinnacle Foods Finance LLC, Tranche C, Term Loan
    7.500%       4/02/14       B       3,030,000  
                                         
  4,411    
Total Food Products
                            4,457,642  
                                         
       
Health Care Equipment & Supplies – 0.8% (0.6% of Total Investments)
                                         
  1,385    
Symbion, Inc., Term Loan A
    3.481%       8/23/13       Ba3       1,260,578  
  1,400    
Symbion, Inc., Term Loan B
    3.481%       8/25/14       Ba3       1,274,228  
                                         
  2,785    
Total Health Care Equipment & Supplies
                            2,534,806  
                                         
       
Health Care Providers & Services – 9.0% (6.6% of Total Investments)
                                         
  255    
Community Health Systems, Inc., Delayed Term Loan
    2.511%       7/25/14       BB       241,197  
  4,986    
Community Health Systems, Inc., Term Loan
    2.506%       7/25/14       BB       4,718,998  
  9,175    
HCA, Inc., Term Loan
    2.501%       11/18/13       BB       8,738,787  
  2,573    
Health Management Associates, Inc., Term Loan
    2.001%       2/28/14       BB–       2,448,615  
  1,256    
IASIS Healthcare LLC, Delayed Term Loan
    2.231%       3/14/14       Ba2       1,202,482  
  340    
IASIS Healthcare LLC, Letter of Credit
    2.229%       3/14/14       Ba2       325,545  
  2,125    
IASIS Healthcare LLC, PIK Term Loan
    5.499%       6/15/14       CCC+       1,997,322  
  3,630    
IASIS Healthcare LLC, Term Loan
    2.231%       3/14/14       Ba2       3,474,605  
  1,424    
Select Medical Corporation, Term Loan
    2.267%       2/24/12       Ba2       1,381,529  
  4,399    
Vanguard Health Holding Company II LLC, Replacement Term Loan, WI/DD
    TBD       TBD       Ba3       4,402,966  
                                         
  30,163    
Total Health Care Providers & Services
                            28,932,046  
                                         
       
Hotels, Restaurants & Leisure – 13.4% (9.8% of Total Investments)
                                         
  2,858    
24 Hour Fitness Worldwide, Inc., Term Loan B
    2.760%       6/08/12       Ba3       2,707,557  
  98    
CBRL Group, Inc., Term Loan B2
    1.790%       4/26/13       BB–       94,706  

     
     
Nuveen Investments
  27
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Hotels, Restaurants & Leisure (continued)
                                         
$ 1,532    
CCM Merger, Inc., Term Loan B
    8.500%       7/13/12       BB–     $ 1,516,920  
  2,217    
Cedar Fair LP, Extended US Term Loan
    4.231%       8/30/14       BB–       2,214,568  
  904    
Cedar Fair LP, Term Loan
    2.231%       8/30/12       BB–       901,492  
  282    
Fontainebleau Las Vegas LLC, Delayed Term Loan, (5), (6)
    4.000%       6/06/14       N/R       68,305  
  1,408    
Fontainebleau Las Vegas LLC, Term Loan, (5), (6)
    4.000%       6/06/14       N/R       341,523  
  467    
Isle of Capri Casinos, Inc., Delayed Term Loan A
    1.981%       11/25/13       B+       464,396  
  531    
Isle of Capri Casinos, Inc., Delayed Term Loan B
    1.981%       11/25/13       B+       528,031  
  1,328    
Isle of Capri Casinos, Inc., Delayed Term Loan
    2.001%       11/25/13       B+       1,320,076  
  4,917    
Orbitz Worldwide, Inc., Term Loan
    3.067%       7/25/14       B+       4,700,912  
  151    
OSI Restaurant Partners LLC, Revolver
    0.626%       6/14/13       B+       135,934  
  1,342    
OSI Restaurant Partners LLC, Term Loan
    2.563%       6/14/14       B+       1,211,514  
  3,000    
Reynolds Group Holdings, Inc., US Term Loan
    6.250%       11/05/15       BB–       3,044,625  
  3,988    
Shingle Springs Tribal Gaming Authority, Term Loan
    10.500%       12/17/13       N/R       3,463,525  
  5,000    
SW Acquisitions Co., Inc., Term Loan
    5.750%       6/01/16       BB+       5,057,815  
  1,950    
Travelport LLC, Delayed Term Loan
    2.738%       8/23/13       Ba3       1,874,438  
  714    
Travelport LLC, Letter of Credit
    2.751%       8/23/13       Ba3       684,333  
  3,557    
Travelport LLC, Term Loan
    2.740%       8/23/13       Ba3       3,410,569  
  2,054    
Venetian Casino Resort LLC, Delayed Term Loan
    2.010%       5/23/14       B–       1,814,431  
  8,215    
Venetian Casino Resort LLC, Term Loan
    2.010%       5/23/14       B–       7,257,349  
                                         
  46,513    
Total Hotels, Restaurants & Leisure
                            42,813,019  
                                         
       
Household Products – 2.6% (1.9% of Total Investments)
                                         
  403    
Spectrum Brands, Inc., Synthetic Letter of Credit, DD1
    1.500%       6/30/12       B–       403,244  
  7,821    
Spectrum Brands, Inc., Term Loan, DD1
    7.997%       6/30/12       B–       7,821,033  
                                         
  8,224    
Total Household Products
                            8,224,277  
                                         
       
Insurance – 1.1% (0.8% of Total Investments)
                                         
  650    
Affirmative Insurance Holdings, Inc., Term Loan
    9.250%       1/31/14       N/R       438,819  
  3,288    
Conseco, Inc., Term Loan
    7.500%       10/10/13       B–       3,136,117  
                                         
  3,938    
Total Insurance
                            3,574,936  
                                         
       
Internet Software & Services – 1.3% (0.9% of Total Investments)
                                         
  766    
Open Solutions, Inc., Term Loan B
    2.375%       1/23/14       BB–       682,566  
  3,887    
Sabre, Inc., Term Loan
    2.490%       9/30/14       B1       3,484,471  
                                         
  4,653    
Total Internet Software & Services
                            4,167,037  
                                         
       
IT Services – 3.6% (2.6% of Total Investments)
                                         
  913    
Attachmate Corporation, Term Loan
    2.501%       4/13/13       BB–       844,964  
  5,167    
First Data Corporation, Term Loan B2
    2.999%       9/24/14       B+       4,479,943  
  995    
First Data Corporation, Term Loan B3
    2.999%       9/24/14       B+       859,907  
  332    
Infor Global Solutions Intermediate Holdings, Ltd., Delayed Term Loan
    3.990%       7/28/12       B+       310,982  
  733    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, First Lien
    6.481%       3/02/14       CCC+       569,250  
  1,267    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan, Second Lien
    6.481%       3/02/14       CCC+       1,045,000  
  1,021    
Infor Global Solutions Intermediate Holdings, Ltd., PIK Term Loan
    8.240%       9/02/14       N/R       679,547  
  636    
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan
    3.990%       7/28/12       B+       596,049  
  2,077    
SunGard Data Systems, Inc., Term Loan B
    1.981%       2/28/14       BB       2,012,845  
                                         
  13,141    
Total IT Services
                            11,398,487  
                                         
       
Leisure Equipment & Products – 2.1% (1.5% of Total Investments)
                                         
  7,612    
Bombardier Recreational Products, Inc., Term Loan
    3.276%       6/28/13       Caa1       5,771,116  
  3,000    
Wimar OpCo LLC, Term Loan, (5), (6)
    2.250%       1/03/12       N/R       937,500  
                                         
  10,612    
Total Leisure Equipment & Products
                            6,708,616  
                                         
       
Machinery – 0.7% (0.6% of Total Investments)
                                         
  1,271    
Oshkosh Truck Corporation, Term Loan
    6.260%       12/06/13       BB–       1,278,670  
  274    
Rexnord Corporation, Incremental Term Loan
    2.500%       7/19/13       BB–       254,665  
  934    
Rexnord Corporation, Term Loan
    2.791%       7/19/13       BB–       884,201  
                                         
  2,479    
Total Machinery
                            2,417,536  
                                         
       
Media – 19.5% (14.2% of Total Investments)
                                         
  2,490    
Cequel Communications LLC, Term Loan B
    2.253%       11/05/13       BB–       2,377,560  
  3,000    
Charter Communications Operating Holdings LLC, Holdco Term Loan
    6.750%       3/06/14       BB+       2,731,875  
  9,128    
Charter Communications Operating Holdings LLC, Term Loan
    2.260%       3/06/14       BB+       8,514,697  
  2,012    
Citadel Broadcasting Corporation, Term Loan, (5), (6), (10), DD1
    1.750%       6/12/14       D       1,633,366  
  849    
Cumulus Media, Inc., Term Loan
    4.231%       6/11/14       B–       760,023  
  995    
Gray Television, Inc., Term Loan B
    3.750%       12/31/14       Caa1       916,574  
  2,928    
HIT Entertainment, Inc., Term Loan B
    2.528%       3/20/12       B1       2,573,099  

     
     
28
  Nuveen Investments
     


 

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Media (continued)
                                         
$ 2,000    
HIT Entertainment, Inc., Term Loan
    5.780%       2/26/13       Caa2     $ 1,165,000  
  6,804    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan B, DD1
    18.250%       4/08/12       N/R       4,106,064  
  5,857    
Metro-Goldwyn-Mayer Studios, Inc., Term Loan
    18.250%       4/08/12       N/R       3,534,366  
  1,439    
Nielsen Finance LLC, Term Loan A
    2.231%       8/09/13       Ba3       1,380,371  
  3,057    
Nielsen Finance LLC, Term Loan B
    3.981%       5/02/16       Ba3       2,989,598  
  3,667    
Philadelphia Newspapers, Term Loan A, (5), (6)
    0.000%       6/29/12       N/R       4,034  
  544    
Reader’s Digest Association, Inc., DIP Term Loan
    13.500%       3/01/14       B–       565,608  
  134    
Reader’s Digest Association, Inc., Euro Term Loan
    7.000%       3/03/14       N/R       79,720  
  373    
Reader’s Digest Association, Inc., Revolving Credit Loan
    4.250%       3/02/13       D       222,294  
  1,500    
Reader’s Digest Association, Inc., U.S. Term Loan
    2.000%       3/03/14       D       895,208  
  3,102    
SFX Entertainment, Inc., Term Loan
    3.497%       6/21/13       Ba3       2,993,738  
  2,987    
Spanish Broadcasting System, Inc., Term Loan B
    2.010%       6/10/12       CCC+       2,504,060  
  1,929    
SuperMedia, Term Loan
    8.000%       12/31/15       B2       1,824,961  
  11,807    
Tribune Company, Term Loan B, (5), (6), DD1
    3.000%       6/04/14       Ca       7,423,934  
  1,365    
Tribune Company, Term Loan X, (5), (6)
    2.750%       N/A       Ca       832,853  
  11,000    
Univision Communications, Inc., Term Loan
    2.501%       9/29/14       B2       9,608,499  
  3,402    
Yell Group PLC, Term Loan
    3.981%       7/31/14       N/R       2,668,647  
                                         
  82,369    
Total Media
                            62,306,149  
                                         
       
Metals & Mining – 1.3% (0.9% of Total Investments)
                                         
  600    
Aleris International, Inc., DIP Term Loan, (5), (7)
    6.215%       2/12/10       N/R       629,195  
  1,157    
Amsted Industries, Inc., Delayed Term Loan
    2.263%       4/05/13       BB       1,108,866  
  1,593    
Amsted Industries, Inc., Term Loan
    2.252%       4/05/13       BB       1,527,469  
  786    
John Maneely Company, Term Loan
    3.501%       12/08/13       B       754,917  
                                         
  4,136    
Total Metals & Mining
                            4,020,447  
                                         
       
Multiline Retail – 0.3% (0.2% of Total Investments)
                                         
  984    
Neiman Marcus Group, Inc., Term Loan
    2.255%       4/06/13       BB–       899,193  
                                         
       
Oil, Gas & Consumable Fuels – 3.9% (2.8% of Total Investments)
                                         
  1,712    
ATP Oil and Gas Corporation, Tranche B1, Term Loan
    11.250%       1/15/14       N/R       1,719,184  
  242    
ATP Oil and Gas Corporation, Tranche B2, Term Loan
    12.250%       1/15/11       N/R       242,716  
  415    
Big West Oil LLC, Delayed Term Loan
    4.500%       5/15/14       B2       402,369  
  330    
Big West Oil LLC, Term Loan
    4.500%       5/15/14       B2       320,066  
  575    
Calumet Lubricants Company LP, Credit Linked Deposit
    4.104%       1/03/15       B1       516,283  
  4,267    
Calumet Lubricants Company LP, Term Loan
    4.273%       1/03/15       B1       3,833,250  
  2,955    
CCS Income Trust, Term Loan
    3.231%       11/14/14       B       2,546,031  
  3,000    
Venoco, Inc., Term Loan
    4.250%       5/07/14       BB–       2,775,939  
                                         
  13,496    
Total Oil, Gas & Consumable Fuels
                            12,355,838  
                                         
       
Paper & Forest Products – 0.9% (0.7% of Total Investments)
                                         
  3,910    
Wilton Products, Term Loan
    3.490%       11/16/14       B+       3,030,250  
                                         
       
Pharmaceuticals – 2.4% (1.8% of Total Investments)
                                         
  1,000    
Graceway Pharmaceuticals LLC, Second Lien Term Loan
    6.731%       5/03/13       CCC+       532,500  
  1,373    
Graceway Pharmaceuticals LLC, Term Loan
    2.981%       5/03/12       BB–       1,144,124  
  712    
Warner Chilcott Corporation, Add on Term Loan
    5.750%       4/30/15       BB+       714,729  
  2,034    
Warner Chilcott Corporation, Term Loan A
    5.500%       10/30/14       BB+       2,042,542  
  1,017    
Warner Chilcott Corporation, Term Loan B1
    5.750%       4/30/15       BB+       1,020,824  
  2,237    
Warner Chilcott Corporation, Term Loan B2
    5.750%       4/30/15       BB+       2,245,812  
                                         
  8,373    
Total Pharmaceuticals
                            7,700,531  
                                         
       
Real Estate Investment Trust – 0.6% (0.4% of Total Investments)
                                         
  1,838    
Tishman Speyer Real Estate, Liquidation Facility
    15.000%       N/A       N/R       1,842,094  
                                         
       
Real Estate Management & Development – 4.9% (3.6% of Total Investments)
                                         
  5,353    
Capital Automotive LP, Tranche C
    2.740%       12/14/12       Ba3       4,934,560  
  7,891    
LNR Property Corporation, Term Loan B
    3.480%       7/12/11       CCC       6,332,455  
  4,875    
Realogy Corporation, Delayed Term Loan
    3.250%       10/10/13       Caa1       4,351,188  
                                         
  18,119    
Total Real Estate Management & Development
                            15,618,203  
                                         
       
Road & Rail – 5.6% (4.1% of Total Investments)
                                         
  1,983    
Avis Budget Car Rental, LLC Term Loan
    4.000%       4/19/12       Ba3       1,941,075  
  290    
Hertz Corporation, Letter of Credit
    2.003%       12/21/12       Ba1       282,751  
  1,574    
Hertz Corporation, Term Loan
    2.013%       12/21/12       Ba1       1,536,553  
  14,848    
Swift Transportation Company, Inc., Term Loan
    6.250%       5/10/14       B–       14,285,642  
                                         
  18,695    
Total Road & Rail
                            18,046,021  
                                         

     
     
Nuveen Investments
  29
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
        Weighted
                   
Principal
        Average
                   
Amount (000)     Description (1)   Coupon     Maturity (2)     Ratings (3)     Value  
       
Semiconductors & Equipment – 0.4% (0.3% of Total Investments)
                                         
$ 1,494    
Freescale Semiconductor, Inc., Term Loan
    1.981%       12/01/13       B2     $ 1,344,824  
                                         
       
Software – 4.4% (3.2% of Total Investments)
                                         
  4,000    
Dealer Computer Services, Inc., Term Loan, Second Lien
    5.751%       10/26/13       B       3,593,332  
  7,802    
Dealer Computer Services, Inc., Term Loan
    2.251%       10/26/12       BB       7,487,349  
  3,370    
IPC Systems, Inc., Term Loan
    2.493%       5/31/14       B1       2,957,554  
                                         
  15,172    
Total Software
                            14,038,235  
                                         
       
Specialty Retail – 5.3% (3.8% of Total Investments)
                                         
  4,930    
Burlington Coat Factory Warehouse Corporation, Term Loan
    2.510%       5/28/13       B–       4,611,979  
  2,977    
Claire’s Stores, Inc., Term Loan B
    3.001%       5/29/14       B–       2,454,865  
  3,352    
Michaels Stores, Inc., Term Loan B1
    2.562%       10/31/13       B       3,033,196  
  1,827    
Michaels Stores, Inc., Term Loan B2
    4.812%       7/31/16       B       1,744,967  
  4,985    
Toys “R” Us–Delaware, Inc., Term Loan B
    4.481%       7/19/12       BB–       4,988,190  
                                         
  18,071    
Total Specialty Retail
                            16,833,197  
                                         
       
Wireless Telecommunication Services – 1.5% (1.1% of Total Investments)
                                         
  4,988    
Asurion Corporation, Term Loan
    3.237%       7/03/14       N/R       4,851,107  
                                         
$ 433,544    
Total Variable Rate Senior Loan Interests (cost $396,941,030)
                            381,443,423  
                                         
 
                             
 
                             
Shares     Description (1)                     Value  
       
Common Stocks – 1.6% (1.2% of Total Investments)
         
       
Building Products – 1.5% (1.1% of Total Investments)
                                         
  124,402    
Masonite Worldwide Holdings, (9), (12)
                          $ 4,789,477  
                                         
       
Media – 0.1% (0.1% of Total Investments)
                                         
  8,942    
SuperMedia Inc.
                            324,684  
                                         
       
Total Common Stocks (cost $7,119,461)
    5,114,161  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Convertible Bonds – 1.6% (1.2% of Total Investments)
         
       
Food & Staples Retailing – 0.8% (0.6% of Total Investments)
                                         
$ 2,747    
Great Atlantic & Pacific Tea Company Inc.
    5.125%       6/15/11       CCC     $ 2,568,445  
                                         
       
Real Estate Investment Trust – 0.4% (0.3% of Total Investments)
                                         
  1,500    
MPT Operating Partnership Limited Partnership, 144A
    6.125%       11/15/11       N/A       1,453,125  
                                         
       
Semiconductors & Equipment – 0.4% (0.3% of Total Investments)
                                         
  1,171    
Advanced Micro Devices, Inc.
    5.750%       8/15/12       B–       1,156,363  
                                         
$ 5,418    
Total Convertible Bonds (cost $3,801,069)
                            5,177,933  
                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Corporate Bonds – 11.7% (8.5% of Total Investments)
         
       
Auto Components – 0.2% (0.1% of Total Investments)
                                         
$ 600    
Exide Technologies
    10.500%       3/15/13       B–     $ 615,000  
                                         
       
Automobiles – 0.9% (0.6% of Total Investments)
                                         
  10,000    
General Motors Corporation
    8.250%       7/15/23       N/R       2,825,000  
                                         
       
Building Products – 0.1% (0.1% of Total Investments)
                                         
  250    
Ply Gem Industries Inc.
    11.750%       6/15/13       CCC+       255,625  
                                         
       
Construction Materials – 0.5% (0.4% of Total Investments)
                                         
  1,500    
Headwaters Inc., 144A
    11.375%       11/01/14       B+       1,582,500  
                                         
       
Diversified Telecommunication Services – 0.6% (0.5% of Total Investments)
                                         
  2,000    
Intelsat Limited
    7.625%       4/15/12       CCC+       2,020,000  
                                         

     
     
30
  Nuveen Investments
     


 

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity     Ratings (3)     Value  
       
Health Care Equipment & Supplies – 0.6% (0.5% of Total Investments)
                                         
$ 1,500    
Reable Therapeutics Financing Corporation
    11.750%       11/15/14       CCC+     $ 1,571,250  
  500    
Select Medical Corporation
    7.625%       2/01/15       B–       492,500  
                                         
  2,000    
Total Health Care Equipment & Supplies
                            2,063,750  
                                         
       
Health Care Providers & Services – 1.2% (0.9% of Total Investments)
                                         
  1,000    
LifeCare Holdings Inc.
    9.250%       8/15/13       CCC–       570,000  
  2,500    
Select Medical Corporation, Floating Rate Note, 5.750% plus six-month LIBOR
    6.134%       9/15/15       CCC+       2,331,250  
  1,000    
US Oncology Holdings Inc., Floating Rate Note, 5.000% plus six-month LIBOR
    5.384%       3/15/12       CCC+       950,000  
                                         
  4,500    
Total Health Care Providers & Services
                            3,851,250  
                                         
       
Hotels, Restaurants & Leisure – 1.1% (0.8% of Total Investments)
                                         
  4,000    
Quapaw Tribe of Oklahoma Downstream Development Authority, 144A
    12.000%       10/15/15       B–       3,460,000  
                                         
       
Internet Software & Services – 0.8% (0.6% of Total Investments)
                                         
  2,750    
Open Solutions Inc., 144A
    9.750%       2/01/15       CCC+       2,440,625  
                                         
       
IT Services – 0.9% (0.7% of Total Investments)
                                         
  1,000    
First Data Corporation
    10.550%       9/24/15       B–       855,000  
  2,500    
First Data Corporation
    11.250%       3/31/16       CCC+       2,100,000  
                                         
  3,500    
Total IT Services
                            2,955,000  
                                         
       
Oil, Gas & Consumable Fuels – 0.7% (0.5% of Total Investments)
                                         
  2,400    
Western Refining Inc., Floating Rate Note, 7.500% plus three-month LIBOR, 144A
    7.749%       6/15/14       BB–       2,196,000  
                                         
       
Road & Rail – 0.5% (0.4% of Total Investments)
                                         
  2,000    
Avis Budget Car Rental, Floating Rate Note, 2.500% plus three-month LIBOR
    2.749%       5/15/14       B–       1,670,000  
                                         
       
Semiconductors & Equipment – 1.3% (0.9% of Total Investments)
                                         
  2,970    
NXP BV, 144A
    10.000%       7/15/13       B–       3,096,225  
  1,000    
Spansion LLC, Floating Rate Note, 3.125% plus three-month LIBOR, 144A, (11)
    3.374%       6/01/13       D       1,000,000  
                                         
  3,970    
Total Semiconductors & Equipment
                            4,096,225  
                                         
       
Software – 1.2% (0.8% of Total Investments)
                                         
  2,950    
Telcordia Technologies Inc., 144A
    10.000%       3/15/13       CCC+       2,802,500  
  1,000    
Telcordia Technologies Inc., Floating Rate Note, 3.750% plus three-month LIBOR, 144A
    3.999%       7/15/12       B       955,000  
                                         
  3,950    
Total Software
                            3,757,500  
                                         
       
Trading Companies & Distributors – 0.5% (0.3% of Total Investments)
                                         
  2,000    
Penhall International Corporation, 144A
    12.000%       8/01/14       CCC       1,505,000  
                                         
       
Wireless Telecommunication Services – 0.6% (0.4% of Total Investments)
                                         
  2,000    
Sprint Nextel Corporation
    8.375%       8/15/17       BB       1,960,000  
                                         
$ 47,420    
Total Corporate Bonds (cost $34,187,963)
                            37,253,475  
                                         

     
     
Nuveen Investments
  31
     


 

       
       
   JRO
    Nuveen Floating Rate Income Opportunity Fund (continued)
Portfolio of Investments January 31, 2010 (Unaudited)

                                         
 
                             
Principal
                             
Amount (000)     Description (1)   Coupon     Maturity           Value  
       
Short-Term Investments – 2.7% (2.0% of Total Investments)
                                         
$ 8,719    
Repurchase Agreement with Fixed Income Clearing Corporation, dated 1/29/10, repurchase price $8,718,992, collateralized by $8,695,000 U.S. Treasury Notes, 3.750%, due 11/15/18, value $8,898,463
    0.010%       2/01/10             $ 8,718,985  
                                         
       
Total Short-Term Investments (cost $8,718,985)
                            8,718,985  
                                         
       
Total Investments (cost $450,768,508) – 136.8%
    437,707,977  
                                         
       
Borrowings – (36.7)% (13)
    (117,270,000 )
                                         
       
Other Assets Less Liabilities – (0.1)%
    (531,776 )
                                         
       
Net Assets Applicable to Common Shares – 100%
  $ 319,906,201  
                                         
 
             
        (1)   All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted.
        (2)   Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.
        (3)   Ratings: Using the higher of Standard & Poor’s Group (“Standard & Poor’s”) or Moody’s Investor Service, Inc. (“Moody’s”) rating. Ratings below BBB by Standard & Poor’s or Baa by Moody’s are considered to be below investment grade.
        (4)   Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.
            Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan.
        (5)   At or subsequent to January 31, 2010, this issue was under the protection of the Federal Bankruptcy Court or has filed for bankruptcy.
        (6)   Non-income producing; denotes that the issuer has defaulted on the payment of principal or interest.
        (7)   Investment, or portion of investment, represents an unfunded Senior Loan commitment outstanding at January 31, 2010.
        (8)   Negative value represents unrealized depreciation on unfunded Senior Loan commitment outstanding at January 31, 2010.
        (9)   Non-income producing; issuer has not declared a dividend within the past twelve months.
        (10)   The Fund’s Adviser has concluded this issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records.
        (11)   This issue is under protection of the Federal Bankruptcy Court (the “Bankruptcy Court”). As a result, the Fund’s Adviser concluded that the issuer was not likely to meet its future interest payment obligations and directed the Fund’s custodian to cease accruing additional income and “write-off” any remaining recorded balances on the Fund’s records during the fiscal year ended July 31, 2009. On July 1, 2009, the Fund received its June 1, 2009 interest payment and subsequently received its September 1, 2009 interest payment as directed by the Bankruptcy Court’s Final Order. During this period, the Fund resumed accruing additional income on this issue. On September 2, 2009, the Fund ceased accruing additional income on this issue. On December 8, 2009, the Fund received its December 1, 2009 interest payment. As a result, the Fund’s Adviser concluded that the issuer was likely to meet its future interest payment obligations and resumed accruing interest on this issue.
        (12)   For fair value measurement disclosure purposes, investment categorized as Level 2. See Notes to Financial Statements, Footnote 2 – Fair Value Measurements for more information.
        (13)   Borrowings as a percentage of Total Investments is 26.8%.
        N/A   Not applicable/not available.
        N/R   Not rated.
        DD1   Portion of investment purchased on a delayed delivery basis.
        WI/DD   Purchased on a when-issued or delayed delivery basis.
        144A   Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
        TBD   Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date.
        PIK   Payment-in-kind
See accompanying notes to financial statements.

     
     
32
  Nuveen Investments
     


 

           
           
  
    Statement of
Assets & Liabilities
          January 31, 2010 (Unaudited)

 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Assets
                       
Investments, at value (cost $286,845,352, $763,388,875 and $450,768,508, respectively)
  $  274,975,583     $  737,900,714     $  437,707,977  
Receivables:
                       
Interest
    2,519,574       5,637,356       4,540,482  
Investments sold
    6,032,960       15,142,015       4,755,929  
Other assets
    74,671       70,400       43,938  
                         
Total assets
    283,602,788       758,750,485       447,048,326  
                         
Liabilities
                       
Borrowings
    73,950,000       197,740,000       117,270,000  
Payables:
                       
Investments purchased
    6,526,096       21,133,777       7,460,784  
Common share dividends
    1,175,023       2,318,219       1,731,326  
Accrued expenses:
                       
Interest on borrowings
    18,611       51,965       29,513  
Management fees
    195,061       366,463       228,467  
Other
    287,772       1,055,971       422,035  
                         
Total liabilities
    82,152,563       222,666,395       127,142,125  
                         
Net assets applicable to Common shares
  $ 201,450,225     $ 536,084,090     $ 319,906,201  
                         
Common shares outstanding
    29,837,611       47,282,432       28,399,922  
                         
Net asset value per Common share outstanding (net assets applicable to Common shares, divided by Common shares outstanding)
  $ 6.75     $ 11.34     $ 11.26  
                         
                         
Net assets applicable to Common shares consist of:
                       
                         
Common shares, $.01 par value per share
  $ 298,376     $ 472,824     $ 283,999  
Paid-in surplus
    283,063,099       667,628,205       400,648,797  
Undistributed (Over-distribution of) net investment income
    (3,145,863 )     3,464,799       7,728,877  
Accumulated net realized gain (loss) from investments
    (66,895,618 )     (109,993,577 )     (75,694,941 )
Net unrealized appreciation (depreciation) of investments
    (11,869,769 )     (25,488,161 )     (13,060,531 )
                         
Net assets applicable to Common shares
  $ 201,450,225     $ 536,084,090     $ 319,906,201  
                         
 
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  33
     


 

           
           
  
    Statement of
Operations
          Six Months Ended January 31, 2010 (Unaudited)

 
                         
                Floating Rate
 
    Senior
    Floating Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Investment Income
                       
Interest
  $ 5,481,073     $ 24,062,602     $ 20,630,477  
Dividends
          323,937        
Fees
    30,000       827,940       534,565  
                         
Total investment income
    5,511,073       25,214,479       21,165,042  
                         
Expenses
                       
Management fees
    1,070,503       2,859,496       1,711,664  
Preferred shares – auction fees
    197       15,420       6,432  
Preferred shares – dividend disbursing agent fees
    4,471       19,508       3,699  
Shareholders’ servicing agent fees and expenses
    1,770       491       267  
Interest expense on borrowings
    105,760       140,557       164,699  
Fees on borrowings
    790,753       2,140,925       1,249,538  
Custodian’s fees and expenses
    61,581       129,623       85,274  
Trustees’ fees and expenses
    3,642       9,278       6,097  
Professional fees
    21,488       39,839       29,162  
Shareholders’ reports – printing and mailing expenses
    31,459       60,842       36,807  
Stock exchange listing fees
    5,158       8,194       4,913  
Investor relations expense
    16,164       38,611       21,530  
Other expenses
    13,779       19,113       16,607  
                         
Total expenses before custodian fee credit and expense reimbursement
    2,126,725       5,481,897       3,336,689  
Custodian fee credit
    (25 )     (9 )     (49 )
Expense reimbursement
    (30,102 )     (822,863 )     (447,955 )
                         
Net expenses
    2,096,598       4,659,025       2,888,685  
                         
Net investment income
    3,414,475       20,555,454       18,276,357  
                         
Realized and Unrealized Gain (Loss)
                       
Net realized gain (loss) from investments
    1,176,585       (7,960,449 )     (4,430,470 )
Change in net unrealized appreciation (depreciation) of investments
    33,634,510       75,088,060       44,775,869  
                         
Net realized and unrealized gain (loss)
    34,811,095       67,127,611       40,345,399  
                         
Distributions to Preferred Shareholders
                       
From net investment income
    (15,265 )     (198,694 )     (124,401 )
                         
Net increase (decrease) in net assets applicable to Common shares from operations
  $ 38,210,305     $ 87,484,371     $ 58,497,355  
                         
 
See accompanying notes to financial statements.

     
     
34
  Nuveen Investments
     


 

           
           
  
    Statement of
Changes in Net Assets
          (Unaudited)

 
                                                 
                      Floating Rate
 
                Floating Rate
    Income
 
    Senior Income (NSL)     Income (JFR)     Opportunity (JRO)  
    Six Months
          Six Months
          Six Months
       
    Ended
    Year Ended
    Ended
    Year Ended
    Ended
    Year Ended
 
    1/31/10     7/31/09     1/31/10     7/31/09     1/31/10     7/31/09  
Operations
                                               
Net investment income
  $ 3,414,475     $ 13,489,915     $ 20,555,454     $ 33,730,105     $ 18,276,357     $ 20,678,590  
Net realized gain (loss) from investments
    1,176,585       (41,868,681 )     (7,960,449 )     (88,776,440 )     (4,430,470 )     (59,909,344 )
Change in net unrealized appreciation (depreciation) of investments
    33,634,510       (2,031,671 )     75,088,060       (8,811,769 )     44,775,869       (1,018,926 )
Distributions to Preferred shareholders from net investment income
    (15,265 )     (558,631 )     (198,694 )     (3,411,778 )     (124,401 )     (2,033,297 )
                                                 
Net increase (decrease) in net assets applicable to Common shares from operations
    38,210,305       (30,969,068 )     87,484,371       (67,269,882 )     58,497,355       (42,282,977 )
                                                 
Distributions to Common Shareholders
                                               
From net investment income
    (6,698,008 )     (13,425,459 )     (13,162,297 )     (30,319,224 )     (9,628,829 )     (20,560,895 )
                                                 
Decrease in net assets applicable to Common shares from distributions to Common shareholders
    (6,698,008 )     (13,425,459 )     (13,162,297 )     (30,319,224 )     (9,628,829 )     (20,560,895 )
                                                 
Capital Share Transactions
                                               
Common shares:
                                               
Net proceeds from shares issued to shareholders due to reinvestment of distributions
    21,251                   216,446              
Repurchased
                (1,264,374 )     (74,280 )     (87,047 )     (71,303 )
                                                 
Net increase (decrease) in net assets applicable to Common shares from capital share transactions
    21,251             (1,264,374 )     142,166       (87,047 )     (71,303 )
                                                 
Net increase (decrease) in net assets applicable to Common shares
    31,533,548       (44,394,527 )     73,057,700       (97,446,940 )     48,781,479       (62,915,175 )
Net assets applicable to Common shares at the beginning of period
    169,916,677       214,311,204       463,026,390       560,473,330       271,124,722       334,039,897  
                                                 
Net assets applicable to Common shares at the end of period
  $ 201,450,225     $ 169,916,677     $ 536,084,090     $ 463,026,390     $ 319,906,201     $ 271,124,722  
                                                 
Undistributed (Over-distribution of) net investment income at the end of period
  $ (3,145,863 )   $ 152,935     $ 3,464,799     $ (3,729,664 )   $ 7,728,877     $ (794,250 )
                                                 
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  35
     


 

           
           
  
    Statement of
Cash Flows
      Six Months Ended January 31, 2010 (Unaudited)

 
                         
                Floating Rate
 
    Senior
    Floating Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
                         
Cash Flows from Operating Activities:
  $ 38,210,305     $ 87,484,371     $ 58,497,355  
Net Increase (Decrease) in Net Assets Applicable to Common Shares from Operations
                       
Adjustments to reconcile the net increase (decrease) in net assets applicable to Common shares from operations to net cash provided by (used in) operating activities:
                       
Purchases of investments
    (75,361,158 )     (137,248,735 )     (104,100,153 )
Proceeds from sales and maturities of investments
    839,783       (940,868 )     266,719  
Proceeds from (Purchases of) short-term investments, net
    72,722,274       115,619,878       90,460,835  
Amortization (Accretion) of premiums and discounts, net
    (2,487,658 )     (3,625,925 )     (3,115,542 )
(Increase) Decrease in receivable for interest
    (691,277 )     (2,539,292 )     (1,533,591 )
(Increase) Decrease in receivable for investments sold
    5,923,558       2,578,041       11,044,617  
(Increase) Decrease in other assets
    (3,919 )     12,195       (970 )
Increase (Decrease) in payable for investments purchased
    (16,341,239 )     (29,837,149 )     (15,691,583 )
Increase (Decrease) in payable for Preferred share dividends
    (3,704 )           (8,695 )
Increase (Decrease) in accrued interest on borrowings
    (2,896 )     (218,230 )     5,097  
Increase (Decrease) in accrued management fees
    46,511       68,513       64,574  
Increase (Decrease) in accrued other liabilities
    3,874       207,763       44,556  
Net realized (gain) loss from investments
    (1,176,585 )     7,960,449       4,430,470  
Net realized (gain) loss from paydowns
    3,421,262       (4,699,251 )     (6,122,427 )
Change in net unrealized (appreciation) depreciation of investments
    (33,634,510 )     (75,088,060 )     (44,775,869 )
                         
Net cash provided by (used in) operating activities
    (8,535,379 )     (40,266,300 )     (10,534,607 )
                         
Cash Flows from Financing Activities:
                       
Increase (Decrease) in cash overdraft balance
    (31,564 )            
Increase (Decrease) in borrowings
    41,050,000       159,240,000       79,920,000  
Cash distributions paid to Common shareholders
    (6,483,057 )     (13,973,700 )     (9,385,393 )
Increase (Decrease) in Preferred shares
    (26,000,000 )     (105,000,000 )     (60,000,000 )
                         
Net cash provided by (used in) financing activities
    8,535,379       40,266,300       10,534,607  
                         
Net Increase (Decrease) in Cash
                 
Cash at the beginning of period
                 
                         
Cash at the End of Period
  $     $     $  
                         
 
Supplemental Disclosure of Cash Flow Information
 
Cash paid by Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) for interest on borrowings during the six months ended January 31, 2010, was $108,656, $496,498 and $159,602, respectively.
 
Non-cash financing activities not included herein consist of reinvestments of common share distributions of $21,251 for Senior Income (NSL).
 
See accompanying notes to financial statements.

     
     
36
  Nuveen Investments
     


 

           
           
       Notes to
Financial Statements (Unaudited)
           

 
 
1.  General Information and Significant Accounting Policies
The funds covered in this report and their corresponding Common share New York Stock Exchange (NYSE) symbols are Nuveen Senior Income Fund (NSL), Nuveen Floating Rate Income Fund (JFR) and Nuveen Floating Rate Income Opportunity Fund (JRO) (collectively, the “Funds”). The Funds are registered under the Investment Company Act of 1940, as amended, as closed-end management investment companies.
 
Senior Income’s (NSL) investment objective is to achieve a high level of current income, consistent with capital preservation. The Fund invests 80% of its total assets in adjustable rate senior secured loans. The Fund may invest up to 20% of its total assets in U.S. dollar- denominated senior loans of non-U.S. borrowers, senior loans that are not secured, other debt securities, and equity securities and warrants acquired in connection with the Fund’s investment in senior loans
 
Floating Rate Income’s (JFR) investment objective is to achieve a high level of current income. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral. The Fund may invest a substantial portion of its managed assets in senior loans and other debt instruments that are, at the time of investment, rated below investment grade or are unrated but judged to be of comparable quality by the Fund’s sub-adviser Symphony Asset Management LLC (the “Symphony”), a subsidiary of Nuveen Investments, Inc. (“Nuveen”).
 
Floating Rate Income Opportunity’s (JRO) investment objective is to achieve a high level of current income. The Fund invests at least 80% of its managed assets in adjustable rate loans, primarily secured senior loans. As part of the 80% requirement, the Fund also may invest in unsecured senior loans and secured and unsecured subordinated loans. The Fund invests at least 65% of its managed assets in adjustable rate senior loans that are secured by specific collateral.
 
In June 2009, the Financial Accounting Standards Board (FASB) established the FASB Accounting Standards Codificationtm (the “Codification”) as the single source of authoritative accounting principles recognized by the FASB in the preparation of financial statements in conformity with generally accepted accounting principles (GAAP). The Codification supersedes existing non-grandfathered, non-SEC accounting and reporting standards. The Codification did not change GAAP but rather organized it into a hierarchy where all guidance within the Codification carries an equal level of authority. The Codification became effective for financial statements issued for interim and annual periods ending after September 15, 2009. The Codification did not have a material effect on the Funds’ financial statements.
 
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements in accordance with US generally accepted accounting principles.
 
Investment Valuation
The prices of senior loans, bonds and other securities in each Fund’s investment portfolio, other than subordinated loans issued by middle market companies, are generally provided by one or more independent pricing services approved by the Fund’s Board of Trustees. Floating Rate Income Opportunity (JRO) currently expects that the independent pricing services will be unable to provide a market based price for certain of the privately negotiated subordinated loans issued by middle market companies. The pricing services, with input from Symphony and Nuveen Asset Management (the “Adviser”), a wholly-owned subsidiary of Nuveen, will estimate the fair value for such subordinated loans, subject to the supervision of Symphony and the Adviser. Floating Rate Income Opportunity (JRO) may engage an independent appraiser to periodically provide an independent determination of the value, or an opinion with respect to the pricing services’ value, of such loans. The pricing services typically value exchange-listed securities at the last sales price on that day; and value senior loans, bonds and other securities traded in the over-the-counter market at the mean of the highest bona fide bid and lowest bona fide asked prices when current quotations are readily available. When market price quotes are not readily available, the pricing service or, in the absence of a pricing service for a particular investment, the Board of Trustees of the Funds, or its designee, may establish fair value using a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity and rating, market quotes or indications of value from security dealers, evaluations of anticipated cash flows or collateral, general market conditions and other information and analysis, including the obligor’s credit characteristics considered relevant. Short-term investments are valued at amortized cost, which approximates value.
 
The senior and subordinated loans in which the Funds invest are not listed on an organized exchange and the secondary market for such investments may be less liquid relative to markets for other fixed-income securities. Consequently, the value of senior and subordinated loans, determined as described above, may differ significantly from the value that would have been determined had there been an active market for that loan.

     
     
Nuveen Investments
  37
     


 

       
       
   
    Notes to
Financial Statements (Unaudited) (continued)

 
Investment Transactions
Investment transactions are recorded on a trade date basis. Trade date for senior and subordinated loans purchased in the “primary market” is considered the date on which the loan allocations are determined. Trade date for senior and subordinated loans purchased in the “secondary market” is the date on which the transaction is entered into. Realized gains and losses from investment transactions are determined on the specific identification method. Investments purchased on a when-issued/delayed delivery basis may have extended settlement periods. Any investments so purchased are subject to market fluctuation during this period. The Funds have instructed the custodian to segregate assets with a current value at least equal to the amount of the when-issued/delayed delivery purchase commitments. At January 31, 2010, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had outstanding when-issued/delayed delivery purchase commitments of $8,435,649, $21,187,797 and $12,664,142, respectively.
 
Investment Income
Dividend income is recorded on the ex-dividend date. Interest income, which includes the amortization of premiums and accretion of discounts for financial reporting purposes, is recorded on an accrual basis. Interest income also includes paydown gains and losses, if any. Fee income, consists primarily of amendment fees. Amendment fees are earned as compensation for evaluating and accepting changes to an original senior loan agreement and are recognized when received.
 
Income Taxes
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to distribute substantially all of its net investment income and net capital gains to shareholders and to otherwise comply with the requirements of Subchapter M of the Internal Revenue Code applicable to regulated investment companies. Therefore, no federal income tax provision is required.
 
For all open tax years and all major taxing jurisdictions, management of the Funds has concluded that there are no significant uncertain tax positions that would require recognition in the financial statements. Open tax years are those that are open for examination by taxing authorities (i.e., generally the last four tax year ends and the interim tax period since then). Furthermore, management of the Funds is also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.
 
Dividends and Distributions to Common Shareholders
Dividends to Common shareholders are declared monthly. Net realized capital gains from investment transactions, if any, are distributed to shareholders at least annually. Furthermore, capital gains are distributed only to the extent they exceed available capital loss carryforwards.
 
Distributions to Common shareholders are recorded on the ex-dividend date. The amount and timing of distributions are determined in accordance with federal corporate income tax regulations, which may differ from US generally accepted accounting principles.
 
Preferred Shares
During the six months ended January 31, 2010, Senior Income Fund (NSL) had outstanding auction rate preferred shares (“Taxable Auction Preferred”). The dividend rates paid by the Fund was determined every twenty-eight days, pursuant to a dutch auction process overseen by the auction agent, and was payable at the end of each rate period.
 
During the six months ended January 31, 2010, Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had outstanding auction rate preferred shares (“FundPreferred”). The dividend rates paid by the Funds were determined every seven days, pursuant to a dutch auction process overseen by the auction agent, and were payable at the end of each rate period.
 
Beginning in February 2008, more shares for sale were submitted in the regularly scheduled auctions for the Taxable Auctioned Preferred and Fund Preferred (collectively “Preferred”) shares issued by the Funds than there were offers to buy. This meant that these auctions “failed to clear,” and that many Preferred shareholders who wanted to sell their shares in these auctions were unable to do so. Preferred shareholders unable to sell their shares received distributions at the “maximum rate” applicable to failed auctions as calculated in accordance with the pre-established terms of the Preferred shares.
 
These developments have generally not affected the portfolio management or investment policies of the Funds. However, one continuing implication of these auction failures for Common shareholders is that the Funds’ cost of leverage likely has been incrementally higher at times than it otherwise would have been had the auctions continued to be successful. As a result, the Funds’ Common share earnings likely have been lower than they otherwise might have been.
 
Effective May 1, 2009, auction participation fees with respect to auctions that had failed had been reduced from 25 bps (annualized) to 15 bps (annualized). All participants had signed new agreements incorporating this change.

     
     
38
  Nuveen Investments
     


 

During the six months ended January 31, 2010, and the fiscal years ended December 31, 2009 and December 31, 2008, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JFR) redeemed all of their outstanding Preferred shares, at liquidation values of $46,000,000, $400,000,000 and $240,000,000, respectively.
 
Derivative Financial Instruments
Each Fund is authorized to invest in derivative financial instruments, including forwards, futures, options and swap transactions. Although each Fund is authorized to invest in such financial instruments, and may do so in the future, they did make any such investments during the six months ended January 31, 2010.
 
Repurchase Agreements
In connection with transactions in repurchase agreements, it is each Fund’s policy that its custodian take possession of the underlying collateral securities, the fair value of which exceeds the principal amount of the repurchase transaction, including accrued interest, at all times. If the seller defaults, and the fair value of the collateral declines, realization of the collateral may be delayed or limited.
 
Custodian Fee Credit
Each Fund has an arrangement with the custodian bank whereby certain custodian fees and expenses are reduced by net credits earned on each Fund’s cash on deposit with the bank. Such deposit arrangements are an alternative to overnight investments. Credits for cash balances may be offset by charges for any days on which a Fund overdraws its account at the custodian bank.
 
Indemnifications
Under the Funds’ organizational documents, their officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts that provide general indemnifications to other parties. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
 
Use of Estimates
The preparation of financial statements in conformity with US generally accepted account principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets applicable to Common shares from operations during the reporting period. Actual results may differ from those estimates.
 
2.  Fair Value Measurements
In determining the value of each Fund’s investments, various inputs are used. These inputs are summarized in the three broad levels listed below:
 
         
Level 1     Quoted prices in active markets for identical securities.
Level 2     Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3     Significant unobservable inputs (including management’s assumptions in determining the fair value of investments).
 
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities. The following is a summary of each Fund’s fair value measurements as of January 31, 2010:
 
                                 
Senior Income (NSL)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 233,946,414       $105,845     $ 234,052,259  
Common Stocks*
    194,803       3,407,289             3,602,092  
Convertible Bonds
          6,567,500             6,567,500  
Corporate Bonds
          19,975,750             19,975,750  
Short-Term Investments
    10,777,982                   10,777,982  
                                 
Total
  $ 10,972,785     $ 263,896,953       $105,845     $ 274,975,583  
                                 
Refer to the Fund’s Portfolio of Investments for industry breakdown of common stocks classified as Level 2.
 

     
     
Nuveen Investments
  39
     


 

       
       
   
    Notes to
Financial Statements (Unaudited) (continued)

                                 
Floating Rate Income (JFR)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 643,989,649     $           –     $ 643,989,649  
Common Stocks*
    519,523       11,730,161             12,249,684  
Corporate Bonds
          49,150,114             49,150,114  
Investment Companies
    11,661,453                   11,661,453  
Short-Term Investments
    20,849,814                   20,849,814  
                                 
Total
  $ 33,030,790     $ 704,869,924     $     $ 737,900,714  
                                 
                                 
                                 
Floating Rate Income Opportunity (JRO)   Level 1     Level 2     Level 3     Total  
Investments:
                               
Variable Rate Senior Loan Interests
  $     $ 381,443,423     $     $ 381,443,423  
Common Stocks*
    324,684       4,789,477             5,114,161  
Convertible Bonds
          5,177,933             5,177,933  
Corporate Bonds
          37,253,475             37,253,475  
Short-Term Investments
    8,718,985                   8,718,985  
                                 
Total
  $ 9,043,669     $ 428,664,308     $     $ 437,707,977  
                                 
Refer to the Fund’s Portfolio of Investments for industry breakdown of common stocks classified as Level 2.
 
The following is a reconciliation of Senior Income’s (NSL) Level 3 investments held at the beginning and end of the measurement period:
 
         
    Senior Income (NSL)
 
    Level 3
 
    Variable Rate
 
    Senior Loan Interests  
Balance at beginning of period
  $ 89,569  
Gains (losses):
       
Net realized gains (losses)
    (6,219,947 )
Net change in unrealized appreciation (depreciation)
    7,419,326  
Net purchases at cost (sales at proceeds)
    (1,183,103 )
Net discounts (premiums)
     
Net transfers in to (out of) at end of period fair value
     
         
Balance at end of period
  $ 105,845  
         
“Change in net unrealized appreciation (depreciation) of investments” presented on the Statement of Operations for Senior Income (NSL) includes $107,208 of net appreciation (depreciation) related to securities classified as Level 3 at the end of the reporting period.
 
3.  Derivative Instruments and Hedging Activities
The Funds record derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Funds’ investments in derivatives may represent economic hedges, they are considered to be non-hedge transactions for financial reporting purposes. The Funds did not invest in derivative instruments during the six months ended January 31, 2010.
 
4.  Fund Shares
Common Shares
Transactions in Common shares were as follows:
 
                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Six Months
    Year
    Six Months
    Year
    Six Months
    Year
 
    Ended
    Ended
    Ended
    Ended
    Ended
    Ended
 
    1/31/10     7/31/09     1/31/10     7/31/09     1/31/10     7/31/09  
Common shares:
                                               
Issued to shareholders due to reinvestment of distributions
    3,258                   34,819              
Repurchased
                (137,893 )     (9,700 )     (9,700 )     (9,700 )
                                                 
Total
    3,258             (137,893 )     25,119       (9,700 )     (9,700 )
                                                 
Weighted average Common share:
                                               
Price per share repurchased
                9.15       7.64       8.95       7.33  
Discount per share repurchased
                12.86 %     16.08 %     13.25 %     16.02 %

     
     
40
  Nuveen Investments
     


 

Preferred Shares
Transactions in Preferred shares were as follows:
 
                                                                                                 
                Floating Rate
 
    Senior Income (NSL)     Floating Rate Income (JFR)     Income Opportunity (JRO)  
    Six Months Ended
    Year Ended
    Six Months Ended
    Year Ended
    Six Months Ended
    Year Ended
 
    1/31/10     7/31/09     1/31/10     7/31/09     1/31/10     7/31/09  
    Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount     Shares     Amount  
Preferred shares redeemed:
Series M
        $           $   –       1,050     $ 26,250,000       600     $ 15,000,000       800     $ 20,000,000       534     $ 13,350,000  
Series T
                            1,050       26,250,000       600       15,000,000                          
Series W
                            1,050       26,250,000       600       15,000,000                          
Series TH
    1,040       26,000,000       800       20,000,000                               800       20,000,000       534       13,350,000  
Series F
                            1,050       26,250,000       600       15,000,000       800       20,000,000       532       13,300,000  
                                                                                                 
Total
    1,040     $ 26,000,000       800      $ 20,000,000       4,200     $ 105,000,000       2,400     $ 60,000,000       2,400     $ 60,000,000       1,600     $ 40,000,000  
                                                                                                 
 
5.  Investment Transactions
Purchases and sales (including maturities but excluding short-term investments) during the six months ended January 31, 2010, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Purchases
  $ 75,361,158     $ 137,248,735     $ 104,100,153  
Sales and maturities
    72,722,274       115,619,878       90,460,835  
                         
 
6.  Income Tax Information
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, timing differences in recognizing certain gains and losses on investment transactions and for Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) recognition of premium amortization. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset values of the Funds.
 
At January 31, 2010, the cost of investments was as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Cost of investments
  $ 286,903,253     $ 765,375,080     $ 450,788,503  
                         
 
Gross unrealized appreciation and gross unrealized depreciation of investments at January 31, 2010, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Gross unrealized:
                       
Appreciation
  $ 14,522,533     $ 26,069,243     $ 20,448,046  
Depreciation
    (26,450,203 )     (53,543,609 )     (33,528,572 )
                         
Net unrealized appreciation (depreciation) of investments
  $ (11,927,670 )   $ (27,474,366 )   $ (13,080,526 )
                         

     
     
Nuveen Investments
  41
     


 

       
       
   
    Notes to
Financial Statements (Unaudited) (continued)

 
The tax components of undistributed net ordinary income and net long-term capital gains at July 31, 2009, the Funds’ last tax year end, were as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Undistributed net ordinary income *
  $ 1,838,117     $ 504,915     $ 1,721,769  
Undistributed net long-term capital gains
                 
                         
Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. Undistributed net ordinary income (on a tax basis) has not been reduced for the dividend declared on July 1, 2009, paid on August 3, 2009.
 
The tax character of distributions paid during the Funds’ last tax year ended July 31, 2009, was designated for purposes of the dividends paid deduction as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Distributions from net ordinary income *
  $ 14,308,050     $ 35,343,923     $ 23,471,413  
Distributions from net long-term capital gains
                 
                         
Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
 
At July 31, 2009, the Funds’ last tax year end, the Funds had unused capital loss carryforwards available for federal income tax purposes to be applied against future capital gains, if any. If not applied, the carryforwards will expire as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Expiration:
                       
July 31, 2010
  $ 14,207,781     $     $  
July 31, 2011
    10,704,255              
July 31, 2013
          819,145       30,377  
July 31, 2014
          2,934,270       2,151,577  
July 31, 2015
    1,002,070       9,492,118       5,017,841  
July 31, 2016
          183,234       1,294,188  
July 31, 2017
    8,900,332       21,620,554       13,760,353  
                         
Total
  $ 34,814,438     $ 35,049,321      $ 22,254,336  
                         
 
The Funds have elected to defer net realized losses from investments incurred from November 1, 2008 through July 31, 2009, the Funds’ last tax year end, (“post-October losses”) in accordance with federal income tax regulations. Post-October losses are treated as having arisen on the first day of the current fiscal year:
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Post-October capital losses
  $ 33,199,865     $ 65,495,975     $ 49,010,085  
                         
 
7.  Management Fees and Other Transactions with Affiliates
Each Fund’s management fee is separated into two components – a fund–level fee, based only on the amount of assets within each individual Fund, and a complex-level fee, based on the aggregate amount of all fund assets managed by the Adviser. This pricing structure enables each Fund’s shareholders to benefit from growth in the assets within their respective Fund as well as from growth in the amount of complex-wide assets managed by the Adviser.

     
     
42
  Nuveen Investments
     


 

The annual fund-level fee for each Fund, payable monthly, is calculated according to the following schedule:
 
         
    Senior Income (NSL)
Average Daily Managed Assets*   Fund-Level Fee Rate
For the first $1 billion
    .6500 %
For the next $1 billion
    .6375  
For the next $3 billion
    .6250  
For the next $5 billion
    .6000  
For Managed Assets over $10 billion
    .5750  
         
 
         
    Floating Rate Income (JFR)
    Floating Rate Income Opportunity (JRO)
Average Daily Managed Assets*   Fund-Level Fee Rate
For the first $500 million
    .6500 %
For the next $500 million
    .6250  
For the next $500 million
    .6000  
For the next $500 million
    .5750  
For Managed Assets over $2 billion
    .5500  
         
 
The annual complex-level fee for each Fund, payable monthly, is calculated according to the following schedule:
 
         
Complex-Level Assets Breakpoint Level*   Effective Rate at Breakpoint Level
$55 billion
    .2000 %
$56 billion
    .1996  
$57 billion
    .1989  
$60 billion
    .1961  
$63 billion
    .1931  
$66 billion
    .1900  
$71 billion
    .1851  
$76 billion
    .1806  
$80 billion
    .1773  
$91 billion
    .1691  
$125 billion
    .1599  
$200 billion
    .1505  
$250 billion
    .1469  
$300 billion
    .1445  
         
The complex-level fee is calculated based upon the aggregate daily managed assets of all Nuveen funds, with such daily managed assets defined separately for each fund in its management agreement, but excluding assets attributable to investments in other Nuveen funds. For the complex-level and fund-level fees, daily managed assets include assets managed by the Adviser that are attributable to financial leverage. For these purposes, financial leverage includes the funds’ use of preferred stock and borrowings and investments in the residual interest certificates (also called inverse floating rate securities) in tender option bond (TOB) trusts, including the portion of assets held by a TOB trust that has been effectively financed by the trust’s issuance of floating rate securities, subject to an agreement by the Adviser to limit the amount of such assets for determining managed assets in certain circumstances. As of January 31, 2010, the complex-level fee rate was .1881%.
 
The management fee compensates the Adviser for overall investment advisory and administrative services and general office facilities. The Adviser has entered into Sub-Advisory Agreements with Symphony under which Symphony manages the investment portfolios of the Funds. Symphony is compensated for its services to the Funds from the management fees paid to the Adviser.
 
The Funds pay no compensation directly to those of its trustees who are affiliated with the Adviser or to its officers, all of whom receive remuneration for their services to the Funds from the Adviser or its affiliates. The Board of Trustees has adopted a deferred compensation plan for independent trustees that enables trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from certain Nuveen advised funds. Under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of select Nuveen advised funds.

     
     
Nuveen Investments
  43
     


 

       
       
   
    Notes to
Financial Statements (Unaudited) (continued)

 
For the first ten years of Senior Income’s (NSL) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
October 31,       October 31,    
1999 *     .45 %   2005     .35 %
2000     .45     2006     .25  
2001     .45     2007     .15  
2002     .45     2008     .10  
2003     .45     2009     .05  
2004     .45              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Senior Income (NSL) for any portion of its fees and expenses beyond October 31, 2009.
 
For the first eight years of Floating Rate Income’s (JFR) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
March 31,       March 31,    
2004 *     .32 %   2009     .32 %
2005     .32     2010     .24  
2006     .32     2011     .16  
2007     .32     2012     .08  
2008     .32              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Floating Rate Income (JFR) for any portion of its fees and expenses beyond March 31, 2012.
 
For the first eight years of Floating Rate Income Opportunity’s (JRO) operations, the Adviser has agreed to reimburse the Fund, as a percentage of average daily managed assets, for fees and expenses in the amounts and for the time periods set forth below:
 
                     
Year Ending
      Year Ending
   
July 31,       July 31,    
2004 *     .30 %   2009     .30 %
2005     .30     2010     .22  
2006     .30     2011     .14  
2007     .30     2012     .07  
2008     .30              
                     
From the commencement of operations.
 
The Adviser has not agreed to reimburse Floating Rate Income Opportunity (JRO) for any portion of its fees and expenses beyond July 31, 2012.
 
8.  Senior Loan Commitments
Unfunded Commitments
Pursuant to the terms of certain of the variable rate senior loan agreements, the Funds may have unfunded senior loan commitments. Each Fund will maintain with the custodian, cash, liquid securities and/or liquid senior loans having an aggregate value at least equal to the amount of unfunded senior loan commitments. At January 31, 2010, Senior Income (NSL), Floating Rate Income (JFR) and Floating Rate Income Opportunity (JRO) had unfunded senior loan commitments of $1,095,029, $3,082,759 and $1,766,342, respectively.
 
Participation Commitments
With respect to the senior loans held in each Fund’s portfolio, the Funds may: 1) invest in assignments; 2) act as a participant in primary lending syndicates; or 3) invest in participations. If a Fund purchases a participation of a senior loan interest, the Fund would typically enter into a contractual agreement with the lender or other third party selling the participation, rather than directly with the Borrower. As such, the Fund not only assumes the credit risk of the Borrower, but also that of the Selling Participant or other persons interpositioned between the Fund and the Borrower. At January 31, 2010, there were no such outstanding participation commitments in any of the Funds.

     
     
44
  Nuveen Investments
     


 

9.  Borrowing Arrangements
Management determined that leveraging the Funds with debt as a replacement for the Funds’ Preferred shares continued to benefit the Funds’ shareholders.
 
Senior Income (NSL) has entered into a $75,500,000 million Revolving Credit and Security Agreement with an affiliate of Citibank. As of January 31, 2010, the Fund’s outstanding balance on these borrowings was $73,950,000. For the six months ended January 31, 2010, the average daily balance outstanding and average interest rate on these borrowings were $62,022,283 and .34%, respectively.
 
Floating Rate Income (JFR) has entered into a $209,500,000 million Revolving Credit and Security Agreement with an affiliate of Citibank. As of January 31, 2010, the Fund’s outstanding balance on these borrowings was $197,740,000. For the six months ended January 31, 2010, the average daily balance outstanding and average interest rate on these borrowings were $162,834,783 and .34%, respectively.
 
Floating Rate Income Opportunity (JRO) has entered into a $120,000,000 million Revolving Credit and Security Agreement with an affiliate of Citibank. As of January 31, 2010, the Fund’s outstanding balance on these borrowings was $117,270,000. For the six months ended January 31, 2010, the average daily balance outstanding and average interest rate on these borrowings were $97,310,870 and .34%, respectively.
 
In order to maintain these borrowing arrangements, the Funds must meet certain collateral, asset coverage and other requirements. Borrowings outstanding are fully secured by securities held in the Funds’ Portfolios of Investments.
 
The aforementioned agreements will renew on May 14, 2010.
 
Interest expense incurred on these borrowings, which is based on a commercial paper rate, is recognized as “Interest expense on borrowings” on the Statement of Operations. In addition to the interest expense, each Fund pays a per annum program fee, based on the average daily outstanding balance and a per annum liquidity fee, based on the total commitment amount of the borrowings through the renewal date, both of which are recognized as “Fees on borrowings” on the Statement of Operations.
 
10.  New Accounting Pronouncements
 
On January 21, 2010, FASB issued changes to the authoritative guidance under GAAP for fair value measurements. The objective of which is to provide guidance on how investment assets and liabilities are to be valued and disclosed. Specifically, the amendment requires reporting entities to disclose i) the input and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements, for both Level 2 and Level 3 positions, ii) transfers between all levels (including Level 1 and Level 2) on a gross basis (i.e., transfers out must be disclosed separately from transfers in) as well as the reason(s) for the transfer and iii) purchases, sales, issuances and settlements in the Level 3 roll forward must be shown on a gross basis rather than as one net number. The effective date of the amendment is for interim and annual periods beginning after December 15, 2009, however, the requirement to provide the Level 3 activity for purchases, sales, issuances and settlements on a gross basis will be effective for interim and annual periods beginning after December 15, 2010. At this time the Funds are evaluating the implications of this guidance and the impact it will have to the financial statement amounts and footnote disclosures, if any.
 
11.  Subsequent Events
Distributions to Common Shareholders
The Funds declared Common share dividend distributions from their net investment income which was paid on March 1, 2010, to shareholders of record on February 15, 2010, as follows:
 
                         
                Floating
 
          Floating
    Rate
 
    Senior
    Rate
    Income
 
    Income
    Income
    Opportunity
 
    (NSL)     (JFR)     (JRO)  
Dividend per share
  $ .0400     $ .0510     $ .0620  
                         

     
     
Nuveen Investments
  45
     


 

           
           
       Financial
Highlights (Unaudited)
      Selected data for a Common share outstanding throughout each period:

 
                                                                                                 
          Investment Operations     Less Distributions                    
                      Distributions
                                                 
                      from Net
    Distributions
          Net
                Offering Costs
             
    Beginning
                Investment
    from Capital
          Investment
    Capital
          and
    Ending
       
    Common
          Net
    Income to
    Gains to
          Income to
    Gains to
          Preferred
    Common
       
    Share
    Net
    Realized/
    Preferred
    Preferred
          Common
    Common
          Share
    Share
    Ending
 
    Net Asset
    Investment
    Unrealized
    Share-
    Share-
          Share-
    Share-
          Underwriting
    Net Asset
    Market
 
    Value     Income(a)     Gain (Loss)     holders†     holders†     Total     holders     holders     Total     Discounts     Value     Value  
Senior Income (NSL)
                                                                                                 
Year Ended 7/31:
2010(c)   $ 5.70     $ .11     $ 1.16     $ ***   $     $ 1.27     $ (.22 )   $     $ (.22 )   $     $ 6.75     $ 7.16  
2009     7.18       .45       (1.46 )     (.02 )       –       (1.03 )     (.45 )       –       (.45 )           5.70       5.15  
2008     8.00       .72       (.83 )     (.07 )           (.18 )     (.64 )           (.64 )           7.18       6.18  
2007     8.33       .79       (.33 )     (.08 )           .38       (.71 )           (.71 )           8.00       8.08  
2006     8.48       .69       (.15 )     (.07 )           .47       (.62 )           (.62 )           8.33       8.15  
2005     8.44       .66             (.04 )           .62       (.58 )           (.58 )           8.48       8.97  
 
Floating Rate Income (JFR)
                                                                                                 
Year Ended 7/31:
2010(c)     9.76       .43       1.43       ***           1.86       (.28 )           (.28 )           11.34       10.76  
2009     11.83       .71       (2.07 )     (.07 )           (1.43 )     (.64 )           (.64 )           9.76       8.37  
2008     13.08       1.40       (1.20 )     (.37 )           (.17 )     (1.08 )           (1.08 )           11.83       10.19  
2007     13.90       1.56       (.78 )     (.43 )           .35       (1.17 )           (1.17 )           13.08       12.88  
2006     14.11       1.31       (.18 )     (.35 )           .78       (.99 )           (.99 )           13.90       13.15  
2005     14.07       1.00       .10       (.20 )           .90       (.86 )           (.86 )           14.11       13.69  
 
Floating Rate Income Opportunity (JRO)
                                                                                                 
Year Ended 7/31:
2010(c)     9.54       .64       1.42       ***           2.06       (.34 )           (.34 )           11.26       11.20  
2009     11.75       .73       (2.15 )     (.07 )           (1.49 )     (.72 )           (.72 )           9.54       8.35  
2008     13.14       1.41       (1.29 )     (.37 )           (.25 )     (1.14 )           (1.14 )           11.75       10.06  
2007     13.95       1.62       (.78 )     (.43 )           .41       (1.22 )           (1.22 )           13.14       13.05  
2006     14.08       1.38       (.13 )     (.35 )           .90       (1.03 )           (1.03 )           13.95       13.30  
2005     14.30       .80       .19       (.19 )           .80       (.84 )           (.84 )     (.18 )     14.08       13.41  
                                                                                                 
 
(a) Per share Net Investment Income is calculated using the average daily shares method.
(b) Borrowings Interest Expense includes amortization of borrowing costs, where applicable. Borrowing costs were fully amortized and expensed as of July 31, 2009.
(c) For the six months ended January 31, 2010.
* Total Return on Based Market Value is the combination of changes in the market price per share and the effect of reinvested dividend income and reinvested capital gains distributions, if any, at the average price paid per share at the time of reinvestment. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending market price. The actual reinvestment for the last dividend declared in the period may take place over several days, and in some instances may not be based on the market price, so the actual reinvestment price may be different from the price used in the calculation. Total returns are not annualized.
 
Total Return on Based Common Share Net Asset Value is the combination of changes in Common share net asset value, reinvested dividend income at net asset value and reinvested capital gains distributions at net asset value, if any. The last dividend declared in the period, which is typically paid on the first business day of the following month, is assumed to be reinvested at the ending net asset value. The actual reinvest price for the last dividend declared in the period may often be based on the Fund’s market price (and not its net asset value), and therefore may be different from the price used in the calculation. Total returns are not annualized.
** After expense reimbursement from the Adviser, where applicable. Expense ratios do not reflect the reduction of custodian credit’s earned on the Funds’ net cash deposit with the custodian bank and/or legal fee refunds, where applicable.
*** Rounds to less than $.01 per share.

     
     
46
  Nuveen Investments
     


 

                                                                                                         
                Ratios/Supplemental Data                                
                Ratios to Average Net
    Ratios to Average Net
                   
                Assets Applicable to
    Assets Applicable to
                   
                Common Shares Before
    Common Shares After
                Borrowings at
 
    Total Returns           Reimbursement††     Reimbursement††**           Preferred Shares at End of Period     End of Period  
          Based
                                                                   
          on
    Ending
                                                             
          Common
    Net
                                                             
    Based
    Share
    Assets
                                  Aggregate
    Liquidation
          Aggregate
    Asset
 
    on
    Net
    Applicable to
          Net
          Net
    Portfolio
    Amount
    and Market
    Asset
    Amount
    Coverage
 
    Market
    Asset
    Common
          Investment
          Investment
    Turnover
    Outstanding
    Value Per
    Coverage
    Outstanding
    Per
 
    Value*     Value*     Shares (000)     Expenses     Income     Expenses     Income     Rate     (000)     Share     Per Share     (000)     $1,000  
                                                                                                         
      44.17 %     22.68 %     $201,450       2.26 %*     3.60 %*     2.23 %*     3.63 %*     30 %   $     $     $     $ 73,950       3,724  
      (6.83 )     (12.25 )     169,917       3.50       9.39       3.39       9.50       48       26,000       25,000       188,381       32,900       6,955  
      (16.31 )     (2.32 )     214,311       3.88       9.38       3.69       9.57       50       46,000       25,000       141,473       90,000       3,892  
      7.79       4.39       238,779       3.88       8.99       3.59       9.27       80       46,000       25,000       154,771       103,000       3,765  
      (1.87 )     5.78       248,271       3.52       7.74       3.08       8.18       55       46,000       25,000       159,930       103,000       3,857  
      (3.40 )     7.53       252,598       2.70       7.21       2.10       7.80       100       46,000       25,000       162,281       103,000       3,899  
 
 
                                                                                                         
                                                                                                         
      32.29       19.24       536,084       2.17 *     7.81 *     1.84 *     8.14 *     17                         197,740       3,711  
      (9.82 )     (10.37 )     463,026       3.25       8.27       2.79       8.74       38       105,000       25,000       135,244       38,500       15,754  
      (13.07 )     (1.43 )     560,473       2.04       10.71       1.50       11.25       30       165,000       25,000       109,920       235,000       4,087  
      6.69       2.33       619,843       1.59       10.63       1.08       11.14       81       400,000       25,000       63,740              
      3.70       5.72       657,517       1.61       8.83       1.10       9.34       50       400,000       25,000       66,095              
      (1.99 )     6.56       667,194       1.60       6.56       1.09       7.07       74       400,000       25,000       66,700              
 
 
                                                                                                         
                                                                                                         
      38.82       21.86       319,906       2.23 *     11.90 *     1.93 *     12.20 *     23                         117,270       3,728  
      (7.35 )     (10.57 )     271,125       3.35       8.74       2.86       9.23       41       60,000       25,000       137,969       37,350       9,865  
      (14.88 )     (1.99 )     334,040       2.06       10.88       1.55       11.38       33       100,000       25,000       108,510       140,000       4,100  
      7.13       2.73       373,366       1.61       11.06       1.13       11.54       81       240,000       25,000       63,892              
      7.32       6.60       396,195       1.63       9.36       1.15       9.84       50       240,000       25,000       66,270              
      (5.13 )     4.47       399,792       1.53       5.25       1.08       5.70       58       240,000       25,000       66,645              
                                                                                                         
 
The amounts shown are based on Common share equivalents.
†† • Ratios do not reflect the effect of dividend payments to Preferred shareholders.
• Net Investment Income ratios reflect income earned and expenses incurred on assets attributable to Preferred shares and borrowings, where applicable.
• Each ratio includes the effect of the interest expense paid on borrowings as follows:
 
         
Ratios of Borrowings Interest Expense to
 
Average Net Assets Applicable to Common Shares(b)  
Senior Income (NSL)
Year Ended 7/31:
2010(c)     .11 %*
2009     1.28  
2008     2.05  
2007     2.22  
2006     1.85  
2005     1.00  
         
Floating Rate Income (JFR)
Year Ended 7/31:
2010(c)     .11 %*
2009     1.04  
2008     .28  
2007      
2006      
2005      
         
Floating Rate Income Opportunity (JRO)
Year Ended 7/31:
2010(c)     .11 %*
2009     1.14  
2008     .28  
2007      
2006      
2005      
         
 
See accompanying notes to financial statements.

     
     
Nuveen Investments
  47
     


 

 
Reinvest Automatically,
Easily and Conveniently

 
 
Nuveen makes reinvesting easy. A phone call is all it takes to set up your reinvestment account.
 
Nuveen Closed-End Funds Automatic Reinvestment Plan
Your Nuveen Closed-End Fund allows you to conveniently reinvest dividends and/or capital gains distributions in additional Fund shares.
 
By choosing to reinvest, you’ll be able to invest money regularly and automatically, and watch your investment grow through the power of tax-free compounding. Just like dividends or distributions in cash, there may be times when income or capital gains taxes may be payable on dividends or distributions that are reinvested.
 
It is important to note that an automatic reinvestment plan does not ensure a profit, nor does it protect you against loss in a declining market.
 
Easy and convenient
To make recordkeeping easy and convenient, each month you’ll receive a statement showing your total dividends and distributions, the date of investment, the shares acquired and the price per share, and the total number of shares you own.
 
How shares are purchased
The shares you acquire by reinvesting will either be purchased on the open market or newly issued by the Fund. If the shares are trading at or above net asset value at the time of valuation, the Fund will issue new shares at the greater of the net asset value or 95% of the then-current market price. If the shares are trading at less than net asset value, shares for your account will be purchased on the open market. If the Plan Agent begins purchasing Fund shares on the open market while shares are trading below net asset value, but the Fund’s shares subsequently trade at or above their net asset value before the Plan Agent is able to complete its purchases, the Plan Agent may cease open-market purchases and may invest the uninvested portion of the distribution in newly-issued Fund shares at a price equal to the greater of the shares’ net asset value or 95% of the shares’ market value on the last business day immediately prior to the purchase date. Dividends and distributions received to purchase shares in the open market will normally be invested shortly after the dividend payment date. No interest will be paid on dividends and distributions awaiting reinvestment. Because the market price of the shares may increase before purchases are completed, the average purchase price per share may exceed the market price at the time of valuation, resulting in the acquisition of fewer shares than if the dividend or distribution had been paid in shares issued by the Fund. A pro rata portion of any applicable brokerage commissions on open market purchases will be paid by Plan participants. These commissions usually will be lower than those charged on individual transactions.

     
     
48
  Nuveen Investments
     


 

 
 
Flexible
You may change your distribution option or withdraw from the Plan at any time, should your needs or situation change. Should you withdraw, you can receive a certificate for all whole shares credited to your reinvestment account and cash payment for fractional shares, or cash payment for all reinvestment account shares, less brokerage commissions and a $2.50 service fee.
 
You can reinvest whether your shares are registered in your name, or in the name of a brokerage firm, bank, or other nominee. Ask your investment advisor if his or her firm will participate on your behalf. Participants whose shares are registered in the name of one firm may not be able to transfer the shares to another firm and continue to participate in the Plan.
 
The Fund reserves the right to amend or terminate the Plan at any time. Although the Fund reserves the right to amend the Plan to include a service charge payable by the participants, there is no direct service charge to participants in the Plan at this time.
 
Call today to start reinvesting dividends and/or distributions
For more information on the Nuveen Automatic Reinvestment Plan or to enroll in or withdraw from the Plan, speak with your financial advisor or call us at (800) 257-8787.

     
     
Nuveen Investments
  49
     


 

 
Glossary of Terms
Used in this Report

 
 
n  Average Annual Total Return: This is a commonly used method to express an investment’s performance over a particular, usually multi-year time period. It expresses the return that would have been necessary each year to equal the investment’s actual cumulative performance (including change in common share NAV or market price and reinvested dividends and capital gains distributions, if any) over the time period being considered.
 
n  Collateralized Debt Obligations (CDOs): Collateralized debt obligations are a type of asset-backed security constructed from a portfolio of fixed-income assets. CDOs usually are divided into different tranches having different ratings and paying different interest rates. Losses, if any, are applied in reverse order of seniority and so junior tranches generally offer higher coupons to compensate for added default risk.
 
n  Market Yield (also known as Dividend Yield or Current Yield): Market yield is based on the Fund’s current annualized monthly distribution divided by the Fund’s current market price.
 
n  Net Asset Value (NAV): A Fund’s NAV per common share is calculated by subtracting the liabilities of the Fund (including any Preferred shares issued in order to leverage the Fund) from its total assets and then dividing the remainder by the number of common shares outstanding. Fund NAVs are calculated at the end of each business day.

     
     
50
  Nuveen Investments
     


 

 
Other Useful Information

 
 
Board of Trustees
John P. Amboian
Robert P. Bremner
Jack B. Evans
William C. Hunter
David J. Kundert
William J. Schneider
Judith M. Stockdale
Carole E. Stone
Terence J. Toth
 
Fund Manager
Nuveen Asset Management
333 West Wacker Drive
Chicago, IL 60606
 
Custodian
State Street Bank & Trust Company
Boston, MA
 
Transfer Agent and
Shareholder Services
State Street Bank & Trust Company
Nuveen Funds
P.O. Box 43071
Providence, RI
02940-3071
(800) 257-8787
 
Legal Counsel
Chapman and Cutler LLP
Chicago, IL
 
Independent Registered
Public Accounting Firm
Ernst & Young LLP
Chicago, IL
 
 
Quarterly Portfolio of Investments and Proxy Voting Information
 
You may obtain (i) each Fund’s quarterly portfolio of investments, (ii) information regarding how the Funds voted proxies relating to portfolio securities held during the most recent twelve-month period ended June 30, 2009, and (iii) a description of the policies and procedures that the Funds used to determine how to vote proxies relating to portfolio securities without charge, upon request, by calling Nuveen Investments toll-free at (800) 257-8787 or on Nuveen’s website at www.nuveen.com.
 
You may also obtain this and other Fund information directly from the Securities and Exchange Commission (“SEC”). The SEC may charge a copying fee for this information. Visit the SEC on-line at http://www.sec.gov or in person at the SEC’s Public Reference Room in Washington, D.C. Call the SEC at (202) 942-8090 for room hours and operation. You may also request Fund information by sending an e-mail request to publicinfo@sec.gov or by writing to the SEC’s Public Reference Section at 100 F Street NE, Washington, D.C. 20549.
 
CEO Certification Disclosure
 
Each Fund’s Chief Executive Officer has submitted to the New York Stock Exchange (“NYSE”) the annual CEO certification as required by Section 303A.12(a) of the NYSE Listed Company Manual.
 
Each Fund has filed with the SEC the certification of its Chief Executive Officer and Chief Financial Officer required by Section 302 of the Sarbanes-Oxley Act.
 
Common and Preferred Share Information
 
Each Fund intends to repurchase and/or redeem shares of its own common and/or preferred stock in the future at such times and in such amounts as is deemed advisable. During the period covered by this report, the Funds repurchased and/or redeemed shares of their common and/or preferred stock as shown in the accompanying table.
 
         
    Common Shares
  Preferred Shares
Fund   Repurchased   Redeemed
NSL
    1,040
JFR
  137,893   4,200
JRO
  9,700   2,400
         
 
Any future repurchases will be reported to shareholders in the next annual or semi-annual report.

     
     
Nuveen Investments
  51
     


 

 
Nuveen Investments:
Serving Investors for Generations

 
 
Since 1898, financial advisors and their clients have relied on Nuveen Investments to provide dependable investment solutions through continued adherence to proven, long-term investing principles. Today, we offer a range of high quality equity and fixed-income solutions designed to be integral components of a well-diversified core portfolio.
 
Focused on meeting investor needs.
 
Nuveen Investments is a global investment management firm that seeks to help secure the long-term goals of institutions and high net worth investors as well as the consultants and financial advisors who serve them. We market our growing range of specialized investment solutions under the high-quality brands of HydePark, NWQ, Nuveen, Santa Barbara, Symphony, Tradewinds and Winslow Capital. In total, Nuveen Investments managed approximately $145 billion of assets on December 31, 2009.
 
Find out how we can help you.
 
To learn more about how the products and services of Nuveen Investments may be able to help you meet your financial goals, talk to your financial advisor, or call us at (800) 257-8787. Please read the information provided carefully before you invest.
 
Investors should consider the investment objective and policies, risk considerations, charges and expenses of any investment carefully. Where applicable, be sure to obtain a prospectus, which contains this and other relevant information. To obtain a prospectus, please contact your securities representative or Nuveen Investments, 333 W. Wacker Dr., Chicago, IL 60606. Please read the prospectus carefully before you invest or send money.
 
Learn more about Nuveen Funds at: www.nuveen.com/cef
 
  •  Share prices
 
  •  Fund details
 
  •  Daily financial news
 
  •  Investor education
 
  •  Interactive planning tools
 
 
         
Distributed by
Nuveen Investments, LLC
333 West Wacker Drive
Chicago, IL 60606
www.nuveen.com
       

ESA-B-0110D


 

ITEM 2. CODE OF ETHICS.
Not applicable to this filing.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable to this filing.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable to this filing.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable to this filing.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Portfolio of Investments in Item 1.
  (a)   Not applicable.
 
  (b)   Not applicable.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to this filing.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
                                 
            (b)   (c)   (d)*
    (a)   AVERAGE   TOTAL NUMBER OF SHARES   MAXIMUM NUMBER (OR
    TOTAL NUMBER OF   PRICE   (OR UNITS) PURCHASED AS   APPROXIMATE DOLLAR VALUE) OF
    SHARES (OR   PAID PER   PART OF PUBLICLY   SHARES (OR UNITS) THAT MAY YET
    UNITS)   SHARE (OR   ANNOUNCED PLANS OR   BE PURCHASED UNDER THE PLANS OR
Period*   PURCHASED   UNIT)   PROGRAMS   PROGRAMS
 
                               
AUGUST 1-31, 2009
    2,700     $ 8.11       2,700       2,827,600  
 
                               
SEPTEMBER 1-30, 2009
    0               0       2,827,600  
 
                               
OCTOBER 1-31, 2009
    7,000     $ 9.28       7,000       2,833,000  
 
                               
NOVEMBER 1-30, 2009
    0               0       2,833,000  
 
                               
DECEMBER 1-31, 2009
    0               0       2,833,000  
 
                               
JANUARY 1-31, 2010
    0               0       2,833,000  
 
                               
TOTAL
    9,700                          
 
*   The registrant’s repurchase program, which authorized the repurchase of 2,840,000 shares, was announced August 7, 2008. On October 3, 2009, the program was reauthorized for a maximum repurchase amount of 2,840,000 shares. Any repurchases made by the registrant pursuant to the program were made through open-market transactions.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board implemented after the registrant last provided disclosure in response to this item.
ITEM 11. CONTROLS AND PROCEDURES.
  (a)   The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)(17 CFR 240.13a-15(b) or 240.15d-15(b)).
 
  (b)   There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
File the exhibits listed below as part of this Form.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: Not applicable to this filing.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) in the exact form set forth below: Ex-99.CERT attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the 1940 Act (17 CFR 270.30a-2(b)); Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference. Ex-99.906 CERT attached hereto.

 


 

SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
         
(Registrant) Nuveen Floating Rate Income Opportunity Fund
 
   
By (Signature and Title)* /s/ Kevin J. McCarthy      
  Kevin J. McCarthy     
  Vice President and Secretary     
 
Date: April 9, 2010
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
     
By (Signature and Title)* /s/ Gifford R. Zimmerman      
  Gifford R. Zimmerman     
  Chief Administrative Officer
(principal executive officer) 
   
 
Date: April 9, 2010
         
     
By (Signature and Title)* /s/ Stephen D. Foy      
  Stephen D. Foy     
  Vice President and Controller
(principal financial officer) 
   
 
Date: April 9, 2010
 
*   Print the name and title of each signing officer under his or her signature.